Foreign exchange market efficiency and cointegration

MacDonald, R. and Taylor, M. P. (1989) Foreign exchange market efficiency and cointegration. Economics Letters, 29(1), pp. 63-68. (doi: 10.1016/0165-1765(89)90174-2)

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In this note we examine an implication of the cointegration literature for the efficiency of foreign exchange markets. In particular, if foreign exchange markets are efficient, then two spot exchange rates cannot be cointegrated. This proposition is tested for 10 dollar bilateral exchange rates over the period January 1973–December 1985.

Item Type:Articles
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Taylor, M. P.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economics Letters
ISSN (Online):1873-7374

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