摘要
本文通过单位根检验,确定汇率的价格序列具有一阶差分平稳性,在此基础上对外汇交易市场几种汇率之间的协整关系进行实证分析,研究发现他们存在着长期的稳定关系,这将有助于投资者制定决策并有效地规避风险。
The series of exchange rates prices show the first-order difference stationary by the unit root test. On the basis of the result of unit root test, we focuse on the issue of empirical analysis of cointegration relationship among these exchange rates, and find out that there exits long-term stability relationships. The study will benefit investors to make decision on their portfolio and effectively avoid risk.
出处
《财经论丛》
CSSCI
北大核心
2007年第5期55-58,共4页
Collected Essays on Finance and Economics
关键词
外汇市场
汇率
协整分析
单位根检验
foreign exchange market
exchange rate
cointegration analysis
unit root test
