A note on cointegration and international capital market efficiency: A reply

While Charles Engel's (1996) criticism of the general strand of the foreign exchange market efficiency literature that suggests that predictability of exchange rates from past values implies market inefficiency is quite correct, Engel's specific condemnation of the Crowder (1994) paper is...

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Bibliographic Details
Published in:Journal of international money and finance 1996-08, Vol.15 (4), p.661-664
Main Author: Crowder, William J.
Format: Article
Language:English
Subjects:
Capital
Capital markets
Economic models
Economic theory
Economics
Efficiency
Efficient markets
Foreign exchange markets
Foreign exchange rates
International finance
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Summary:While Charles Engel's (1996) criticism of the general strand of the foreign exchange market efficiency literature that suggests that predictability of exchange rates from past values implies market inefficiency is quite correct, Engel's specific condemnation of the Crowder (1994) paper is off the mark. Although Crowder left open the possibility that an explanation does exist that can reconcile foreign exchange market efficiency and cointegration between exchange rates, Engel's model does not provide such an explanation.
ISSN:0261-5606
1873-0639
DOI:10.1016/0261-5606(96)00029-0