Cointegration and models of exchange rate determination
作者： Richard T. Baillie , David D. Selover
DOI: 10.1016/0169-2070(87)90077-X
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摘要: Abstract The application of new techniques in testing for cointegration indicate the inappropriate- ness pure monetary model to explain movements nominal exchange rate. In general fundamental variables are found be integrated different orders and there is a lack between rate relative prices. Estimation other dynamic models give rise parameter estimates which do not support model. results broadly consistent across five countries. These imply that it worthwhile forecast from its main variants.
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