Cointegration,Fractional Cointegration,and Exchange Rate Dynamics |
| |
Authors: | RICHARD T BAILLIE TIM BOLLERSLEV |
| |
Abstract: | 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. |
| |
Keywords: | |
|
|