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Risk Neutrality and the Two-tier Foreign Exchange Market

其他書名	Evidence from Belgium
出版	National Bureau of Economic Research, 1989
URL	http://books.google.com.hk/books?id=kgyyAAAAIAAJ&hl=&source=gbs_api

註釋Most of the literature on two-tier exchange markets is built around models in which domestic policy can exert a powerful influence on the spread between the current account exchange rate and the capital account exchange rate. We show that if optimizing agents are risk neutral, domestic policy has no significant influence on the spread. Our work with Belgian data suggests that a nsk neutral specification for Belgian residents acting in the two-tier market is hard to reject, and we also find evidence that domestic variables do not affect the Belgian spread.