On Cointegration and Exchange Rate Dynamics
检验了Baillie和Bollerslev（1989）关于美元即期汇率存在协整关系的结论，发现协整模型的预测效果不如随机游走模型，且协整检验的证据较弱。
ABSTRACT Baillie and Bollerslev (1989) have recently argued that nominal dollar spot exchange rates are cointegrated. Here we examine an immediate implication of their finding, namely, that cointegration implies an error‐correction representation yielding forecasts superior to those from a martingale benchmark, in light of a large earlier literature highlighting the predictive superiority of the martingale. In an out‐of‐sample forecasting exercise, we find the martingale model to be superior. We then perform a battery of improved cointegration tests and find that the evidence for cointegration is much less strong than previously thought, a result consistent with the outcome of the forecasting exercise.