出版社：Center for European, Governance and Economic Development
摘要：The aim of this paper is to detect periods in which two currencies can be
classified as being the ”same” asset. Two currencies can be treated as the same
asset if their exchange rates vis-`a-vis the same base currency are cointegrated
with a cointegration vector that is consistent with the triangular arbitrage
condition. In a first step, it is theoretically derived under which conditions,
with respect to the process of the fundamentals, the exchange rates are
cointegrated. The empirical results yield that periods of strong comovements of
the US dollar and Pound sterling based upon the Euro prevail during the 1990s
and periods of comovements of Euro and Pound sterling denominated in US dollar
prevail since the introduction of the Euro. Furthermore, no long-run
relationships can be discovered. This paper gives four major innovations to the
literature. It first shows under which conditions exchange rates can be
bivariately cointegrated. Secondly, it uses the cross-rate identity to test for
cointegration, i.e. deducing recursively. Thirdly, it applies the cointegration
methodology within a triangular framework by detecting cointegration between
exchange rates that are not only denominated in U.S. dollars. And lastly, it
shows that comovements between two exchange rates exist in a narrower sense but
only in short periods, whereas the economic variables which have caused the
relationship are explored.
