标题：Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses
出版社：Center for European, Governance and Economic Development
摘要：The aim of this paper is to investigate the market efficiency
on the foreign exchange market since the introduction of the Euro by applying
the cointegration analysis to exchange rates. The introduction of the Euro has
changed the structure of the global foreign exchange market to the extent that
the second most important currency in the world with the highest credibility in
the foreign exchange market, namely the Deutsche Mark, has been assimilated into
the Euro. In order to evaluate if the introduction of a new currency has
resulted in inefficient markets, a bivariate cointegration analysis should be
applied to the seven most important exchange rates. The empirical analysis
predominantly draws on the Johansen (1988, 1991) approach and the Gregory-Hansen
(1996) approach whereas the latter takes endogenous structural breaks into
account. We show that the foreign exchange market is broadly consistent with the
market efficiency hypothesis. A very important result is that we can find a
longrun relationship between the exchange rate pairs EUR/USD and GBP/USD whereas
the no-arbitrage condition is satisfied. Since the EUR/USD exchange rate is
weakly exogenous the GBP/USD exchange rate takes the burden of adjustment to the
long-run equilibrium.
