Cointegration Analysis of Exchange Rate in Foreign Exchange Market
This paper educed that the series of exchange rates prices show their first-order difierence stationary by the unit root test.On the basis of the result of unit root test,we focuses on the issue of empirical analysis of cointegration relationship with these exchange rates,and find out that there is to exist long-term stability relationships with them.The paper adopts historical data of daily closing prices of CAD/USD,GBP/USD,CHF/USD currencies and carries out unit root test and cointegration test.The empirical result shows there is to exist cointegration relationship among the currencies,and there is to exist long-term stability relationship.This means that economy in the three countries has a very close relationship with American economy. The study will benefit investors to make decision on their portfolio and to effectively avoid risk.
Cointegration analysis Foreign exchange market Exchange Rates Unit root test
Wang Jian Wang Shu-li
School of Economics, Wuhan University of Technology,P.R.China,430074
国际会议
2006 Interntional Conferecne on Management of Logistics and Supply Chain(2006物流与供应链管理国际研讨会)
长沙
英文
595-599
2006-09-20（万方平台首次上网日期，不代表论文的发表时间）