Cointegration, Efficiency and Forecasting in the Currency Market
从经济学角度重新审视协整方法在外汇市场效率检验中的矛盾结果，发现协整关系主要存在于欧洲货币体系内限幅波动的货币之间，这与市场效率并不矛盾，且利用该关系有助于提高汇率预测效率。
Existing literature on using the cointegration approach to examine the efficiency of the foreign exchange market gives mixed results. Arguments typically focus on econometric testing techniques, with fractional cointegration being the most current one. This paper tries to look at the issue from an economic perspective. It shows that the cointegrating relationship, whether cointegrated or fractionally cointegrated, is found mainly among the currencies of the European Monetary System which are set to fluctuate within a given range. Hence, there is no inconsistency with the notion of market efficiency. Yet, exploiting such a cointegrating relationship is helpful in currency forecasting. There is some evidence that restricting the forecasting model to consist of only cointegrated currencies improves forecasting efficiency.