Fractional cointegration, long memory, and exchange rate dynamics

摘要: Abstract In this article, we examine empirically whether fractional cointegration exists in the system of seven exchange rates and form is associated with long memory. The results indicate that a feature for only 1980–1984 sample, not entire post-1973 float, subperiod before 1980, sample after 1984. show significant memory, mean-reverting behavior equilibrium errors 1980–1984. also suggest are cointegrated usual way 1985–1992 data. current findings conjecture rates, if exists, could be changing across varying time spans.