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Why Achilles does not Fail to Catch the Tortoise

โœ Scribed by A. D. Ritchie


Book ID
124825193
Publisher
Oxford University Press
Year
1941
Tongue
English
Weight
300 KB
Volume
50
Category
Article
ISSN
0026-4423

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We use the Phillips and Hansen (1990) modified procedure to estimate the cointegrating vector between F t , the forward exchange rate, and S t1 , the appropriate spot rate. We find that the coefficient b, from the equation, S t1 a bF t e t1 to be very close to, but significantly different from, 1 (a