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Cointegration and exchange rate dynamics

✍ Scribed by David H. Papell


Book ID
117427871
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
846 KB
Volume
16
Category
Article
ISSN
0261-5606

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## Abstract This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fract