This paper examines the cointegrating relationships in seven foreign exchange rates for a sample period from 1974 to 1991 by utilizing Johansen's (1991) method. Three subperiods are also examined to confirm the intertemporal stability of the test results. In addition, subgroups of the seven exchange rates are analyzed to determine the consistency of the empirical results with respect to different dimensions in the system. We find that the test results are sensitive to the choice of test statistics, time trends, subperiods as well as subgroups. All results indicate either one or no cointegrating relationship exists. Further, we study time series properties of twenty one cross-currency rates and the corresponding exchange rates in terms of a common currency. None of cross-currency rates are stationary and hence the pairs of exchange rates are not cointegrated. Copyright Blackwell Publishers Ltd 1997.

This study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single‐equation cointegration test proposed by Phillips and Ouliaris [19], and the Johansen [12] 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use of these updated techniques and a global data set, the authors are able to more carefully test for the presence of cointegrating relationships and examine the consistency of the results in three trading locations. The results are quite consistent across locations and are highly supportive of efficiency in the global foreign exchange market.

Recent Studies in the area of foreign exchange market efficiency have employed time series analysis to test for the absence of long‐run equilibrium or cointegration relationships among the exchange rates for the major currencies. Cointegration directly violates the weak form of the Efficient Market Hypothesis in a speculative efficient market (Granger, 1986). In this study, we address the efficiency of the Tokyo spot foreign exchange market while updating the test procedures developed by Phillips and Ouliaris (1990), Johansen and Juselius (1990) and Johansen (1991). Cointegration is found to be absent, showing that the Tokyo spot market is consistent with the efficient market hypothesis.

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The current financial crisis has drawn attention to consumers' use of the Home Equity Line of Credit (HELOC) to finance consumption. Although many economists have repeatedly noted that such borrowing fueled additional consumption, attempts to quantify the boost to consumer spending have been relatively few. Similarly, attempts to classify the types of goods consumers purchased with their HELOC facilities have been sparse. The present article remedies both situations. The article shows that, in the aggregate, for every one percentage increase in HELOC lending, durable goods consumption increased by between 17% and 25% (on average, from 1991 to 2008). The article uses aggregate consumption data compiled from the Consumer Expenditure Survey, and HELOC data taken from banks' reported financial statements as filed with the Federal Financial Institution Examination Council (FFIEC). A regional-level panel of aggregate consumption and lending is constructed for the years 1991 to 2008. We examine several different measures of durable and nondurable goods, and we find that the durable goods most sensitive to changes in HELOC borrowing are classified as follows: household furniture, equipment and appliances, entertainment goods (including TV, radio, and sound equipment) and transportation (including new and used vehicles).HELOC, home, equity, lending,