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1. Bivariate cointegration among European monetary system exchange rates.

Author

Norrbin, Stefan C.

Subjects
COINTEGRATION, FOREIGN exchange rates, ECONOMETRICS, MONEY, MONETARY policy, TIME series analysis, MONETARY unions, MONETARY systems, ECONOMICS
Abstract

In past research on the long-run behaviour of exchange rates the possibility of cointegration among spot rates has been rejected. This rejection is surprising as some exchange rates are bound by official agreements to comove over time. The European Monetary System (EMS) is an example of such an officially coordinating system. In this paper we extend past research by focusing on only EMS rates and use potentially more powerful cointegration tests to show that EMS rates are cointegrated. [ABSTRACT FROM AUTHOR]

Published
1996
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