Cointegration Analysis, Error Correction Models and Foreign Exchange Market Efficiency
本文用协整分析和误差修正模型检验了1977-1990年间五种货币的远期和期货市场效率，发现四种货币满足效率条件，表明不同货币价格间存在协整关系，长期受相同基本面驱动。
This paper tests the efficiency condition in the foreign exchange rate market using cointegration analysis and error correction models. The statistical technique is applied to test the hypothesis for both the forward and futures market for five currencies over the period 1977-1990. Empirical evidence is found supporting the efficiency criterion in four of the five currencies tested. The presence of cointegration between alternate currency prices implies that they are regarded as one asset, domestic money. Our results confirm that although in the short run the exchange rate series are characterized by dynamic specifications, they are all driven by the same market fundamentals obeying the long-run equilibrium contraints.