COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA
β Scribed by Laurence S. Copeland
- Book ID
- 115232734
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 141 KB
- Volume
- 53
- Category
- Article
- ISSN
- 0140-5543
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The question 'Does the monetary model explain the exchange rate movement?' is re-examined. Using the simple monetary model, whether or not the exchange rates are cointegrated with the monetary model is tested. With data from seven countries during the recent float period, the panel approach gives fa
## Abstract We present a cointegration analysis on the triangle (USDβDEM, USDβJPY, DEMβJPY) of foreign exchange rates using intraβday data. A vector autoregressive model is estimated and evaluated in terms of outβofβsample forecast accuracy measures. Its economic value is measured on the basis of t
## 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
## Abstract This paper investigates the existence of threshold cointegration between real exchange rates and real interest rate differentials. Unlike previous work, which generally fails to find evidence of a longβrun relationship employing linear models, we employ tests of the null hypothesis of n