We examine the stability of exchange rates among the members of the European Monetary System (EMS), using the Johansen‐Juselius multivariate cointegration (systems) analysis. The direct implication from cointegration theory is that exchange rate stability vis a vis EMS member countries has...

The purchasing power parity hypothesis is investigated within a highly economically integrated set of nations, namely the European Monetary System. We use the Phillips‐Hansen Fully Modified Ordinary Least Squares procedure, which for the first time allows for an unrestricted cointegration test...

The monetary approach to long run exchange rate determination is reexamined for the Canadian — US dollar exchange rate. We first test for non‐stationarity, and then conduct a multivariate cointegration analysis to examine the validity of the monetary model in determination of exchange rates...

This paper attempts to reconcile an apparent contradiction between short‐run and long‐run movements in the price of gold. The theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against...