haku: @author McMahon, P. / yhteensä: 4
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| Tekijä: | Darbar, S. McFarland, J. McMahon, P. |
| Otsikko: | Financial integration in the 1920s: a cointegration approach |
| Lehti: | Weltwirtschaftliches Archiv
1993 : VOL. 129:4, p. 675-688 |
| Asiasana: | FINANCE COINTEGRATION ARCHIVES |
| Kieli: | eng |
| Tiivistelmä: | The early 1920s is a fascinating period for academics in many fields. This paper deals with two different issues and employs two different methods. It applies the single equation, Engle and Granger (1987) method to explain the long-run relationship between spot and forward exchange rates of a single currency, referred to as cointegration between spot and forward exchange rates. It also employs the Johansen (1988) multivariate approach to examine the extent of integration across currency markets, referred to as cointegration among the spot and forward exchange rates of different currencies. |
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