Common Stochastic Trends in a System of Exchange Rates
对七种即期和远期汇率日数据进行单变量和多变量检验，发现它们存在单位根且协整，即远期溢价平稳，共同随机趋势支持汇率长期关系及失衡误差对后续变动的影响。
ABSTRACT Univariate tests reveal strong evidence for the presence of a unit root in the univariate time‐series representation for seven daily spot and forward exchange rate series. Furthermore, all seven spot and forward rates appear to be cointegrated; that is, the forward premiums are stationary, and one common unit root, or stochastic trend, is detectable in the multivariate time‐series models for the seven spot and forward rates, respectively. This is consistent with the hypothesis that the seven exchange rates possess one long‐run relationship and that the disequilibrium error around that relationship partly accounts for subsequent movements in the exchange rates.