COINTEGRATION TESTS OF THE MONETARY EXCHANGE RATE MODEL: THE CANADIAN - U.S. DOLLAR, 1970–1994

Author:

DIAMANDIS PANAYIOTIS F.,GEORGOUTSOS DIMITRIS A.,KOURETAS GEORGIOS P.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance

Reference26 articles.

1. Backus, D. (1984) “Empirical models of the exchange rate: Separating the wheat from the chaff” Canadian Journal of Economics, pp. 824 - 846.

2. Baillie, R. T. and MacMahon, P. C.(1989) Foreign Exchange Market: Theory and Econometric Evidence. Cambridge : Cambridge University Press.

3. Banerjee, A. and Lumsdaine, R. L. and Stock, J. H. (1992) “Recursive and sequential tests for a unit root: Theory and international evidence” Journal of Business and Economics Statistics, pp. 271 - 278.

4. Bilson, J. F. O.(1978) “Rational expectations and the exchange rate”. In The Economics of Exchange Rates. . Reading Mass: Addison-Wesley.

5. Boothe, P. (1983) “Speculative profit opportunities in the Canadian foreign exchange market” Canadian Journal of Economics, pp. 603 - 611.

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