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Black and official market exchange rates and purchasing power parity : evidence from Latin America

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Has the link between the spot and forward exchange rates broken down? : evidence from rolling cointegration tests

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Has the link between the spot and forward exchange rates broken down? : Evidence from rolling cointegration tests

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Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests

Kutan, Ali M.; Zhou, Su - 2002

In a recent survey, Engel (1996) reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the...

Persistent link: https://www.econbiz.de/10010301206