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Common stocastic trends among Caribbean currencies: Evidence from Guyana, Jamaica, and Trinidad and Tobago

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  • Aggarwal, Raj
  • Simmons, Walter

Abstract

This study of stochastic trends in small open economies documents the nonnormal distribution, serial correlation, and nonstationarity of Caribbean exchange rates for the last two decades of the twentieth century. In addition, this study documents clear evidence of co-movement among Caribbean exchange rates for this period especially after the economic reforms of the early 1990s. These findings have important implications for policy makers, managers, investors, and scholars interested in the Caribbean region.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 60 (2008)
Issue (Month): 3 ()
Pages: 277-289

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Handle: RePEc:eee:jebusi:v:60:y:2008:i:3:p:277-289

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Web page: http://www.elsevier.com/locate/jeconbus

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  1. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 561-570, December.
  2. Holmes, Mark J, 2000. "Does Purchasing Power Parity Hold in African Less Developed Countries? Evidence from a Panel Data Unit Root Test," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 9(1), pages 63-78, March.
  3. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
  4. Friedman, Daniel & Vandersteel, Stoddard, 1982. "Short-run fluctuations in foreign exchange rates : Evidence from the data 1973-1979," Journal of International Economics, Elsevier, vol. 13(1-2), pages 171-186, August.
  5. Hakkio, Craig S. & Rush, Mark, 1991. "Cointegration: how short is the long run?," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 571-581, December.
  6. Collins, Susan M., 1996. "On becoming more flexible: Exchange rate regimes in Latin America and the Caribbean," Journal of Development Economics, Elsevier, vol. 51(1), pages 117-138, October.
  7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  8. DeLisle Worrell, 2000. "Monetary and Fiscal Coordination in Small Open Economies," IMF Working Papers 00/56, International Monetary Fund.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. Whitt, Joseph Jr., 1992. "Nominal exchange rates and unit roots: a reconsideration," Journal of International Money and Finance, Elsevier, vol. 11(6), pages 539-551, December.
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