Common Stochastic Trends in a System of Exchange Rates
对七种即期和远期汇率进行单位根和协整检验，发现它们存在一个共同随机趋势，即远期溢价平稳，且汇率偏离长期关系会影响后续变动。
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.