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Foreign exchange market efficiency and cointegration:Some evidence from the recent float

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
29
Issue
1
Identifiers
DOI: 10.1016/0165-1765(89)90174-2

Abstract

Abstract 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.

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