Cointegration analysis of the black market and official exchange rates in India
The examination of stochastic properties of the black market and official exchange rates in India reveals that the series are cointegrated and, therefore, possess a longrun equilibrium relation. The black rate is found to be more sensitive to shocks, and at the same time, adjusts more quickly to departures from the long-run equilibrium relation. This is expected, since the policy-determined official rate was set by what seems to be a sluggish and/or arbitrary mechanism, and that the black had to largely respond and adjust to the exogenous shocks in order to maintain the long-run equilibrium relation.
When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:15:y:1993:i:4:p:709-721. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.