In the last years of the 20th century world finances experienced a large-scale change - liberalisation of capital accounts, globalisation, integration of currency markets and intensification of international flows. However there are still some countries (examples presented) that use controls or introduce new restrictions on economic life including foreign exchange transactions. The usual response of market participants is the creation of a gray or a black currency market. This market can be a more or less effective substitute of normal economic life. A more or less repressive system of regulations could also be observed in the history of communist Poland. The aim of this article is to verify if the Polish black currency (USD) market operating in 1982-1989 was effective at least in the weak form. Weekly quotations were analysed with a test of correlation coefficients, the Ljung-Box (Q) test as well as ARMA (3,3) modelling.

Keywords: market efficiency, black market, currency market, foreign exchange.

  Marcin Gruszczyński, Maciej Stokłosa, Effectiveness of Unofficial Currency Market in Poland in 1982-1989 - plik pdf; (200 KB)