Bivariate cointegration among European monetary system exchange rates

Author: Norrbin, Stefan C.

Source: Applied Economics, Volume 28, Number 12, 1 December 1996 , pp. 1505-1513(9)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

In past research on the long-run behaviour of exchange rates the possibility of cointegration among spot rates has been rejected. This rejection is surprising as some exchange rates are bound by official agreements to comove over time. The European Monetary System (EMS) is an example of such an officially coordinating system. In this paper we extend past research by focusing on only EMS rates and use potentially more powerful cointegration tests to show that EMS rates are cointegrated.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/000368496327499

Publication date: December 1, 1996

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