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Citations for "On cointegration and exchange rate dynamics"

by Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz

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  1. John P. Lajaunie & Atsuyuki Naka, 1997. "Re-examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(3), pages 363-374.
  2. John Barkoulas & Christopher F. Baum, 1996. "A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency," Boston College Working Papers in Economics 311., Boston College Department of Economics.
  3. Macide Cicek, 2014. "A Cointegration Test for Turkish Foreign Exchange Market Efficiency," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(4), pages 451-471, April.
  4. Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 785-812, December.
  5. Eric Renault & Khalid Sekkat & Ariane Szafarz, 1998. "Testing for Spurious Causality in Exchange Rates," ULB Institutional Repository 2013/709, ULB -- Universite Libre de Bruxelles.
  6. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
  7. Philip Arestis & Panicos O. Demetriades & Kul B. Luintel, 1997. "Financial Development and Economic Growth: the Role of Stock Markets," Keele Department of Economics Discussion Papers (1995-2001) 97/05, Department of Economics, Keele University.
  8. Peter Sephton, 1996. "A note on fractional cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 683-685.
  9. Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 657-660, August.
  10. Jérôme Héricourt & Julien Reynaud, 2006. "La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI," Cahiers de la Maison des Sciences Economiques bla06009, Université Panthéon-Sorbonne (Paris 1).
  11. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March.
  12. McCrae, Michael, et al, 2002. "Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 355-80, August.
  13. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Darmstadt Discussion Papers in Economics 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  14. Jérôme HENRY & Jens WEIDMANN, 1995. "Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates," Annales d'Economie et de Statistique, ENSAE, issue 40, pages 125-160.
  15. Abraham, Abraham, 1999. "Interest rate dynamics and speculative trading in a fixed exchange rate system," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 213-222, June.
  16. Bahram Adrangi & Arjun Chatrath & Rohan Christie David, 2000. "Price discovery in strategically-linked markets: the case of the gold-silver spread," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 227-234.
  17. Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus.
  18. Shi-Miin Liu & Chih-Hsien Chou, 2003. "Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 13(12), pages 899-911.
  19. Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  20. Kirman, Alan & Ricciotti, Romain Fabio & Topol, Richard L On, 2007. "Bubbles In Foreign Exchange Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 102-123, November.
  21. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
  22. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 0525, European Central Bank.
  23. Alan Speight & David McMillan, 2001. "Cointegration and predictability in prereform east European black-market exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 8(12), pages 755-759.
  24. Charles Engel & Nelson C. Mark & Kenneth D. West, 2008. "Exchange Rate Models Are Not As Bad As You Think," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 381-441 National Bureau of Economic Research, Inc.
  25. Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, 05.
  26. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
  27. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
  28. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  29. R.D. Rossiter, 2002. "Term structure of forward exchange premiums: evidence from the 1920s," Journal of Economic Studies, Emerald Group Publishing, vol. 29(1), pages 33-47, January.
  30. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  31. Abul Masih & Rumi Masih, 1998. "A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1287-1298.
  32. Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Working Papers 00-5, Bank of Canada.
  33. Heejoon Kang, 2004. "Inappropriate Detrending and Spurious Cointegration," Econometric Society 2004 Far Eastern Meetings 624, Econometric Society.
  34. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005. "Revisiting the Martingale hypothesis for exchange rates," Money Macro and Finance (MMF) Research Group Conference 2005 19, Money Macro and Finance Research Group.
  35. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 125-147.
  37. Crowder, William J., 1996. "A note on cointegration and international capital market efficiency: A reply," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 661-664, August.
  38. Stefan C. Norrbin & Aaron D. Smallwood, 2006. "Generalized long memory processes, failure of cointegration tests and exchange rate dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 409-417.
  39. DeGennaro, Ramon P & Kunkel, Robert A & Lee, Junsoo, 1994. "Modeling International Long-Term Interest Rates," The Financial Review, Eastern Finance Association, vol. 29(4), pages 577-97, November.
  40. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 279-297, April.
  41. Fiess, Norbert M & MacDonald, Ronald, 2002. "Towards the fundamentals of technical analysis: analysing the information content of High, Low and Close prices," Economic Modelling, Elsevier, vol. 19(3), pages 353-374, May.
  42. Elyasiani, Elyas & Kocagil, Ahmet E., 2001. "Interdependence and dynamics in currency futures markets: A multivariate analysis of intraday data," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1161-1186, June.
  43. Rapp, Tammy A. & Sharma, Subhash C., 1999. "Exchange rate market efficiency: across and within countries," Journal of Economics and Business, Elsevier, vol. 51(5), pages 423-439, September.
  44. repec:dgr:vuarem:1997-42 is not listed on IDEAS
  45. Bang Nam Jeon & Euiseong Lee, 2002. "Foreign exchange market efficiency, cointegration, and policy coordination," Applied Economics Letters, Taylor & Francis Journals, vol. 9(1), pages 61-68.
  46. repec:hal:journl:halshs-00084717 is not listed on IDEAS
  47. Sequeira, John M., 1997. "Econometric modelling of long-run relationships in the Singapore currency futures market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 421-427.
  48. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  49. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre.
  50. Rangvid, Jesper & Sørensen, Carsten, 2000. "Convergence in the ERM and declining numbers of common stochastic trends," Working Papers 2000-8, Copenhagen Business School, Department of Finance.
  51. Carol Alexandra & Anca Dimitriu, 2002. "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance icma-dp2002-08, Henley Business School, Reading University.
  52. Frédérique Bec & Emma Ben Youssef & Mélika Ben Salem, 1997. "Une évaluation empirique de l'efficience du marché des changes," Revue Économique, Programme National Persée, vol. 48(4), pages 921-936.
  53. Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
  54. Pan, Ming-Shiun & Liu, Y. Angela, 1999. "Fractional cointegration, long memory, and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 305-316, September.
  55. Sweeney, Richard J., 2006. "Mean Reversion in G-10 Nominal Exchange Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(03), pages 685-708, September.
  56. Ronald MacDonald & Ian W. Marsh, 1997. "On Fundamentals And Exchange Rates: A Casselian Perspective," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 655-664, November.
  57. Ghosh, Asim, 1996. " Cross-Hedging Foreign Currency Risk: Empirical Evidence from an Error Correction Model," Review of Quantitative Finance and Accounting, Springer, vol. 6(3), pages 223-31, May.
  58. Jose A. Lopez, 1996. "Exchange rate cointegration across central bank regime shifts," Research Paper 9602, Federal Reserve Bank of New York.
  59. Madura, J. & Wiley, M. K. & Zarruk, E. R., 1998. "Cointegration of term structure premiums across countries," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 393-412, November.
  60. Adrangi, Bahram & Chatrath, Arjun & Raffiee, Kambiz & D. Ripple, Ronald, 2001. "Alaska North Slope crude oil price and the behavior of diesel prices in California," Energy Economics, Elsevier, vol. 23(1), pages 29-42, January.
  61. A. Yuce & C. Simga-Mugan, 1996. "An investigation of the short- and long-term relationships between Turkish financial markets," The European Journal of Finance, Taylor & Francis Journals, vol. 2(4), pages 305-317.
  62. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Working Papers 97-1, Bank of Canada.
  63. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
  64. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.
  65. Montserrat Ferre & Stephen Hall, 2002. "Foreign exchange market efficiency and cointegration," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 131-139.
  66. Abul M.M. Masih & Rumi Masih, 1998. "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(7&8), pages 987-1003.
  67. Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 726-32, November.
  68. Angela Black & David McMillan, 2004. "Long run trends and volatility spillovers in daily exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 895-907.
  69. Wilson H. S. Tong, 2001. "Cointegration, Efficiency and Forecasting in the Currency Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1-2), pages 127-150.
  70. Derek W. Bunn & Carlo Fezzi, 2007. "Interaction of European Carbon Trading and Energy Prices," Working Papers 2007.63, Fondazione Eni Enrico Mattei.
  71. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-95, July.
  72. Wu, Jyh-Lin & Chen, Show-Lin, 1998. "Foreign exchange market efficiency revisited," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 831-838, October.
  73. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.
  74. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
  75. Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 134-139, June.
  76. Aggarwal, Raj & Mougoue, Mbodja, 1998. " Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
  77. Henry, Jerome & Jens Weidmann, 1994. "The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis," Discussion Paper Serie B 295, University of Bonn, Germany.
  78. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June.
  79. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
  80. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
  81. Kang, Heejoon, 2008. "The cointegration relationships among G-7 foreign exchange rates," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 446-460, June.
  82. Michael Bowe & Nikolaos Mylonidis, 1999. "Is the European Capital Market Ready for the Single Currency?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 1-32.
  83. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
  84. David McMillan, 2005. "Cointegrating behaviour between spot and forward exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1135-1144.
  85. Kam C. Chan & Louis T. W. Cheng & Joseph K. W. Fung, 2001. "Ownership Restrictions and Stock-Price Behavior in China," Chinese Economy, M.E. Sharpe, Inc., vol. 34(1), pages 29-48, January.
  86. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA.
  87. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," Center for European, Governance and Economic Development Research Discussion Papers 68, University of Goettingen, Department of Economics.
  88. M. Martin Boyer, Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers 2006s-07, CIRANO.
  89. John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996. "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics 315., Boston College Department of Economics.
  90. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 311-326.
  91. Manolis Kavussanos & Ilias Visvikis & David Menachof, 2005. "The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests," Review of Derivatives Research, Springer, vol. 7(3), pages 241-266, October.
  92. A. Mansur & M. Masih & Rumi Masih, 2004. "Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 593-605.
  93. Aroskar, Raj & Sarkar, Salil K. & Swanson, Peggy E., 2004. "European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 333-347.
  94. Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 333-352, September.
  95. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November.
  96. Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers 012, University of Notre Dame, Department of Economics, revised Jan 2012.
  97. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2002.03, Institut d'Economie et Econométrie, Université de Genève.
  98. Yann Schorderet, 2003. "Asymmetric Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2003.01, Institut d'Economie et Econométrie, Université de Genève.
  99. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper Series 25_12, The Rimini Centre for Economic Analysis.
  100. repec:got:cegedp:68 is not listed on IDEAS
  101. Elyasiani, Elyas & Kocagil, Ahmet E. & Mansur, Iqbal, 2007. "Information transmission and spillover in currency markets: A generalized variance decomposition analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 312-330, May.
  102. Trapletti, Adrian & Geyer, Alois & Leisch, Friedrich, 2002. "Forecasting Exchange Rates Using Cointegration Models and Inra-day Data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 151-66, April.
  103. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
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