A note on cointegration and international capital market efficiency

被引：25

作者：

Engel, C

机构：

[1] University of Washington and NBER, Department of Economics, University of Washington, Seattle

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1996年 / 15卷 / 04期

关键词：

D O I：

10.1016/0261-5606(96)00028-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In a recent paper in the JIMF, Crowder (1994) claims that evidence that spot exchange rates are cointegrated and forward premiums are non-stationary implies international capital markets are not efficient. This note argues that the cointegration properties of spot exchange rates are independent of the efficiency or inefficiency of financial markets. (JEL F3, F4). Copyright (C) 1996 Elsevier Science Ltd

引用

收藏

页码：657 / 660

页数：4

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