COINTEGRATION, FRACTIONAL COINTEGRATION, AND EXCHANGE-RATE DYNAMICS

被引：153

作者：

BAILLIE, RT ^{[1
]}

BOLLERSLEV, T ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,EVANSTON,IL 60201

来源：

JOURNAL OF FINANCE | 1994年 / 49卷 / 02期

关键词：

D O I：

10.1111/j.1540-6261.1994.tb05161.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Multivariate tests due to Jobansen (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.

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页码：737 / 745

页数：9

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