Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

Published

Journal Article

Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons. 1994 The American Finance Association

Full Text

Duke Authors

Cited Authors

  • BAILLIE, RT; BOLLERSLEV, T

Published Date

  • January 1, 1994

Published In

Volume / Issue

  • 49 / 2

Start / End Page

  • 737 - 745

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1994.tb05161.x

Citation Source

  • Scopus