Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
用Johansen检验分析一组汇率是否协整，发现偏离协整关系具有长记忆性，可能为分数积分过程，冲击对均衡汇率的影响只在极长期消失。
ABSTRACT Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons.