The ‘peso problem’ in testing the efficiency of forward exchange markets William S. Krasker
Graduate School of Business Administration, Harvard University, Boston, MA 02163, USA


Available online 26 March 2002.


AbstractIn this paper we argue that when there is small probability of an event which would cause a large change in an exchange rate, the standard tests for the efficiency of the corresponding forward exchange market are not always valid. The mark pound forward market during the German hyperinflation is cited as an example. Using data from that hyperinflation, we show that an alternative test can sometimes be constructed in cases where the usual tests are not valid. The results reverse the conclusion of earlier researchers that the mark pound forward market during the hyperinflation was not efficient.

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