The 6 references with contexts in paper John T. Barkoulas, Christopher F. Baum, Atreya Chakraborty (2000) “Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums” / RePEc:boc:bocoec:461

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Alexander, C. O. and A. Johnson (1992), Are foreign exchange markets really efficient? Economics Letters, 40, 449-453.
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    Introduction The weak-form efficiency hypothesis of foreign exchange markets presents testable implications for the time series behavior of systems of spot currency rates.1 Researchers’ empirical findings of cointegration in systems of spot exchange rates
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    (Alexander and Johnson (1992), Lopez (1996), and
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    Baillie and Bollerslev (1989, 1994a), inter alia) would seem to contradict the market efficiency hypothesis, since a cointegrated system necessarily implies the presence of predictability of returns in at least one currency.2, 3 Does the existence of cointegration among spot rates imply a rejection of the market efficiency hypothesis?4 Crowder

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Im, Kyong So, Pesaran, M. Hashem, and Yongcheol Shin (1995), Testing for unit roots in heterogeneous panels, unpublished paper, Department of Applied
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    Taylor and Sarno (1998) show that the JLR test statistic in (8) is asymptotically distributed as χ21() under the null hypothesis. The JLR multivariate test employed here offers important methodological advantages over first-generation panel-unit root tests proposed by Levin and Lin (1992, 1993),
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    Im et al. (1995),
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    O'Connell (1998), and others. Such tests have as their null hypothesis that all variables in the panel are realizations of unit-root processes. Hence, this null will be rejected if even one of the series in the panel is stationary.

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Johansen, Soren (1992), Cointegration in partial systems and the efficiency of single equation analysis, Journal of Econometrics, 52, 389-402.
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    Given equation (4), the integration order of the forward premium has direct implications for the stochastic structure of the currency risk premium and, consequently, for foreign exchange market efficiency. 3. The Johansen Likelihood Ratio (JLR) Test
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    Johansen (1992)
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    suggests a maximum likelihood method to determine the number of common trends in a system of unit-root variables. Without any loss of generality, a p –dimensional vector autoregressive (VAR) process of k–th order can be written as follows: ∆tX = μ +1Θt−1∆X + ... + k−1Θt−k+1∆X + t−kΠX + tε (5) where ∆ is the first-difference operator, μ is a (p x 1) matrix of co

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Lopez, Jose (1996), Exchange rate cointegration across central bank regime shifts, Federal Reserve
Total in-text references: 1
  1. In-text reference with the coordinate start=1789
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    Introduction The weak-form efficiency hypothesis of foreign exchange markets presents testable implications for the time series behavior of systems of spot currency rates.1 Researchers’ empirical findings of cointegration in systems of spot exchange rates
    Exact
    (Alexander and Johnson (1992), Lopez (1996), and
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    Baillie and Bollerslev (1989, 1994a), inter alia) would seem to contradict the market efficiency hypothesis, since a cointegrated system necessarily implies the presence of predictability of returns in at least one currency.2, 3 Does the existence of cointegration among spot rates imply a rejection of the market efficiency hypothesis?4 Crowder

25
Luintel, K. B. and K. Paudyal (1998), Common stochastic trends between forward and spot exchange rates, Journal of International Money and Finance, 17, 279-297.
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    Using daily data for four currencies, Crowder (1992) finds that forward premium series are nonstationary processes. Crowder (1994) confirms such unit-root evidence for monthly forward premium series for three currencies, and concludes that the data do not support the market efficiency hypothesis.
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    Luintel and Paudyal (1998)
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    find daily forward premium series for five currencies to be realizations of unit-root processes, while Horvath and Watson (1995) and Clarida and Taylor (1997) reach the conclusion that forward premiums are stationary processes.

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O'Connell, Paul (1998), The overvaluation of purchasing power parity, Journal o f
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    The JLR multivariate test employed here offers important methodological advantages over first-generation panel-unit root tests proposed by Levin and Lin (1992, 1993), Im et al. (1995), O'
    Exact
    Connell (1998), and
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    others. Such tests have as their null hypothesis that all variables in the panel are realizations of unit-root processes. Hence, this null will be rejected if even one of the series in the panel is stationary.