Common Stochastic Trends in a System of Exchange Rates
Publication
, Journal Article
BAILLIE, RT; BOLLERSLEV, T
Published in: The Journal of Finance
January 1, 1989
Univariate tests reveal strong evidence for the presence of a unit root in the univariate time‐series representation for seven daily spot and forward exchange rate series. Furthermore, all seven spot and forward rates appear to be cointegrated; that is, the forward premiums are stationary, and one common unit root, or stochastic trend, is detectable in the multivariate time‐series models for the seven spot and forward rates, respectively. This is consistent with the hypothesis that the seven exchange rates possess one long‐run relationship and that the disequilibrium error around that relationship partly accounts for subsequent movements in the exchange rates. 1989 The American Finance Association
Duke Scholars
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1989
Volume
44
Issue
1
Start / End Page
167 / 181
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
BAILLIE, R. T., & BOLLERSLEV, T. (1989). Common Stochastic Trends in a System of Exchange Rates. The Journal of Finance, 44(1), 167–181. https://doi.org/10.1111/j.1540-6261.1989.tb02410.x
BAILLIE, R. T., and T. BOLLERSLEV. “Common Stochastic Trends in a System of Exchange Rates.” The Journal of Finance 44, no. 1 (January 1, 1989): 167–81. https://doi.org/10.1111/j.1540-6261.1989.tb02410.x.
BAILLIE RT, BOLLERSLEV T. Common Stochastic Trends in a System of Exchange Rates. The Journal of Finance. 1989 Jan 1;44(1):167–81.
BAILLIE, R. T., and T. BOLLERSLEV. “Common Stochastic Trends in a System of Exchange Rates.” The Journal of Finance, vol. 44, no. 1, Jan. 1989, pp. 167–81. Scopus, doi:10.1111/j.1540-6261.1989.tb02410.x.
BAILLIE RT, BOLLERSLEV T. Common Stochastic Trends in a System of Exchange Rates. The Journal of Finance. 1989 Jan 1;44(1):167–181.
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1989
Volume
44
Issue
1
Start / End Page
167 / 181
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment