There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency therefore is worthy of investigate in international finance. According to simple market efficiency hypothesis, the long-run relationship wound exist between spot exchange rate and forward exchange rate as foreign exchange markets are efficient. In the purpose of this study is to examine the long-run relationship between spot exchange rate and forward exchange rate by cointegration theory. We consider a new method¡Ðpanel cointegration that data sets contain not only time series also corss sections, to re-examine the relationship between spot and forward exchange rates. Conclusively, the results of cointegration relationships exist between spot and forward exchange rates in Taiwan, Singapore, Japanese, and Canada by applying panel cointegration model.

Thesis (Ph. D.)--University of Washington, 2002. / Vita. Includes bibliographical references (leaves 100-111).

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Given the role electricity and natural gas sectors play in the North American economy, an understanding of how markets for these commodities interact is important. This dissertation independently characterizes the price dynamics of major electricity and natural gas spot markets in North America by combining directed acyclic graphs with time series analyses. Furthermore, the dissertation explores a generalization of price difference bands associated with the law of one price. Interdependencies among 11 major electricity spot markets are examined in Chapter II using a vector autoregression model. Results suggest that the relationships between the markets vary by time. Western markets are separated from the eastern markets and the Electricity Reliability Council of Texas. At longer time horizons these separations disappear. Palo Verde is the important spot market in the west for price discovery. Southwest Power Pool is the dominant market in Eastern Interconnected System for price discovery. Interdependencies among eight major natural gas spot markets are investigated using a vector error correction model and the Greedy Equivalence Search Algorithm in Chapter III. Findings suggest that the eight price series are tied together through sixlong-run cointegration relationships, supporting the argument that the natural gas market has developed into a single integrated market in North America since deregulation. Results indicate that price discovery tends to occur in the excess consuming regions and move to the excess producing regions. Across North America, the U.S. Midwest region, represented by the Chicago spot market, is the most important for price discovery. The Ellisburg-Leidy Hub in Pennsylvania and Malin Hub in Oregon are important for eastern and western markets. In Chapter IV, a threshold vector error correction model is applied to the natural gas markets to examine nonlinearities in adjustments to the law of one price. Results show that there are nonlinear adjustments to the law of one price in seven pair-wise markets. Four alternative cases for the law of one price are presented as a theoretical background. A methodology is developed for finding a threshold cointegration model that accounts for seasonality in the threshold levels. Results indicate that dynamic threshold effects vary depending on geographical location and whether the markets are excess producing or excess consuming markets.

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Yes / This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities, and domestic and foreign real money balances, with a view to examine whether stock markets have an effect on the exchange rate in the long-run. The model is tested using data from the UK and the USA. Evidence suggests that the UK stock market has a significant effect on the value of the pound's sterling nominal effective exchange rate in the long-run over the period 1982 to 2011.