Title: Cointegration between exchange rates: a generalized linear cointegration model
Abstract: Traditional cointegration techniques assume a simple linear model of the long run equilibrium dynamics between eligible series. This linear limitation is convenient, but restricts the identification of more complex or non-linear forms of cointegration. This paper expands the simple linear cointegration model (SLCM) to a more generalised linear cointegration model (GLCM) which can identify more complex long-run relationships that may not be detectable under simple linear cointegration models. An application of the GLCM to a vector of daily spot exchange rates for five major currencies over the 1994–1995 period confirms that complex linear forms of cointegration can exist even where current simple linear cointegration models reveal no evidence of cointegration.
Publication Year: 1998
Publication Date: 1998-09-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 6
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