Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC
AbstractThe aim of this paper is to find some empirical evidence on Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) in the Spanish case vis Ã vis the European Community for the period 1980â€“89. The main contribution of the paper is the aggregation of the variables corresponding to the countries that participate in the exchange rate mechanism of the European Monetary System. The results support the importance of the interest differential as an explanatory variable for the short-term adjustment to the PPP. The results follow from powerful estimation techniques, applied in the framework of a multivariate error-correction model using the maximum-likelihood procedure as developed by Johansen and Juselius (1992). Copyright Kluwer Academic Publishers 1996
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Bibliographic InfoArticle provided by Springer in its journal Open Economies Review.
Volume (Year): 7 (1996)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=100323
purchasing power parity; uncovered interest parity; exchange rate; European integration; cointegration; weighted variables; F31; F36; C3;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
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