This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

In this note we subject some Canadian macroeconomic time series to test of seasonal and non-seasonal unit roots. Overall we find evidence that the series are integrated at some of the seasonal frequencies as well as at a zero frequency