IDEAS home Printed from
   My bibliography  Save this article

The impact of political shocks on cointegrated exchange rate series


  • Rita Biswas
  • Hany Shawky


This study applies cointegration tests with time-dependent dummies to assess the impact of the Gulf War on the relationship between the forward exchange rate and the spot exchange rate using the British pound and the Japanese yen in terms of the US dollar. Cointegration of the spot and forward rate series cannot be supported for each of the exchange rates for a sample period around the Gulf War unless a five-week dummy is introduced starting in the Invasion week. The evidence is consistent with the existing literature in that it indirectly supports the long-run relationship between the spot and forward rates and confirms that short-run disruptions could occur and are consistent with the long-run relationship.

Suggested Citation

  • Rita Biswas & Hany Shawky, 1996. "The impact of political shocks on cointegrated exchange rate series," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 15-19.
  • Handle: RePEc:taf:apeclt:v:3:y:1996:i:1:p:15-19
    DOI: 10.1080/758525508

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:3:y:1996:i:1:p:15-19. 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: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.