Asymmetric adjustment and co-integration in foreign exchange markets: an empirical analysis.(Statistical Data Included)

This research examines the relation between the blot rates and forward rates in the foreign exchange markets for five different countries: Canada, US, UK Germany and Switzerland. Our findings indicate that for Canada and UK asymmetric adjustment proces exists between these sum of two units rates, while for Germany and Switzerland the proces appears to be symmetric. We also have rest that the positive phase of the adjustment proces is more persistent than the negative phase for Canada and UK We have identified the optimal doorsill level for the exchange rate differential for these countries,