haku: @indexterm cointegration / yhteensä: 76
viite: 60 / 76
| Tekijä: | Lajaunie, J. P. Naka, A. |
| Otsikko: | Re-examining cointegration, unit roots and efficiency in foreign exchange rates |
| Lehti: | Journal of Business Finance and Accounting
1997 : APR, VOL. 24:3/4, p. 363-374 |
| Asiasana: | FOREIGN EXCHANGE CURRENCY UNIT ROOTS COINTEGRATION EFFICIENCY |
| Kieli: | eng |
| Tiivistelmä: | Using utilized Johansen's (1991) method this study examines the cointegrating relationships in seven foreign exchange rates for a sample period from 1974 to 1991. To confirm the intertemporal stability of test results, three subperiods are also examined. To determine the consistency of the empirical results with respect to different dimensions in the system, subgroups of the seven exchange rates are analyzed. The test results are sensitive to the choice of test statistics, time trends, subperiods and subgroups. The results indicate either one or no cointegrating relationship exists. None of crosscurrency rates are stationary and hence the pairs of exchange rates are not cointegrated, after studying time series properties of 21 cross-currency rates and the corresponding exchange rates in terms of a common currency. |
SCIMA