The cointegration relationships among G-7 foreign exchange rates

Heejoon Kang

International Review of Financial Analysis, 2008, vol. 17, issue 3, 446-460

Abstract: A search method is applied to foreign exchange rates of G-7 countries, in terms of the US dollar, to estimate cointegration relationships. The method searches numerically, by strictly following the definition of the cointegration, a particular linear combination of nonstationary series in order to make it a stationary series. The list of those exchange rates which are cointegrated from the new method is very different from those derived from the conventional maximum likelihood estimation or ordinary least squares methods. The new method also provides confidence intervals for cointegration coefficients. From the confidence intervals, it is determined that certain G-7 currencies expressed in terms of the mark or the pound become stationary.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057-5219(07)00005-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:17:y:2008:i:3:p:446-460

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().