This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Bevilacqua, Franco () (United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology)
Abstract

Juselius (1995), MacDonald (2000), Juselius and MacDonald (2000) provided an explanation to some basic issues in international monetary economics concerning the validity of parity conditions. This paper instead restricts the analysis to the years between 1957 and 1969 and the countries under scrutiny are Germany and USA. Results can be easily compared with the Post Bretton Woods analysis by Juselius and MacDonald (2000). The main result of this paper is that important cointegration relationships found for the Post Bretton-Woods by Juselius and MacDonald (2000) essentially hold for the Bretton-Woods period as well, albeit the two periods were characterized by distinct exchange rate regimes and a different regulation in capital markets.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.merit.unu.edu/publications/wppdf/2006/wp2006-016.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology in its series UNU-MERIT Working Paper Series with number 016.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 2006
Date of revision:
Handle: RePEc:dgr:unumer:2006016

Contact details of provider:
Web page: http://www.merit.unu.edu

For technical questions regarding this item, or to correct its listing, contact: (Ad Notten).

Related research
Keywords: ppp; uip; Fisher parity; Bretton-Woods regime;

Other versions of this item:

Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
F31 - International Economics - - International Finance - - - Foreign Exchange
F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Ivan Paya & David A. Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor and Francis Journals, vol. 37(21), pages 2515-2522, December. [Downloadable!] (restricted)
    Other versions:
  2. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244. [Downloadable!] (restricted)
  3. Wu, Ping & Crato, Nuno, 1995. "New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates," Empirical Economics, Springer, vol. 20(4), pages 599-613.
  4. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
  5. Serletis, Apostolos & Zimonopoulos, Grigorios, 1997. "Breaking Trend Functions in Real Exchange Rates: Evidence from Seventeen OECD Countries," Journal of Macroeconomics, Elsevier, vol. 19(4), pages 781-802, October. [Downloadable!] (restricted)
  6. MacDonald, Ronald, 2000. "Concepts to calculate equilibrium exchange rates : an overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
  7. Culver, Sarah E. & Papell, David H., 1995. "Real exchange rates under the gold standard: can they be explained by the trend break model?," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 539-548, August. [Downloadable!] (restricted)
  8. Baizhu Chen & Kien C. Tran, 1994. "Are We Sure That The Real Exchange Rate Follows A Random Walk? A Reexamination," International Economic Journal, Korean International Economic Association, vol. 8(3), pages 33-44, October. [Downloadable!] (restricted)
  9. Franco Bevilacqua & Cinzia Daraio, 2001. "International parity relationships between Germany and US: a multivariate time series analysis for the post Bretton-Woods period," LEM Papers Series 2001/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  10. Søren Johansen, 1994. "The role of the constant and linear terms in cointegration analysis of nonstationary variables," Econometric Reviews, Taylor and Francis Journals, vol. 13(2), pages 205-229. [Downloadable!] (restricted)
  11. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  12. Culver, Sarah E & Papell, David H, 1997. "Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(4), pages 435-44, July-Aug.. [Downloadable!]
  13. Coakley, Jerry & Kulasi, Farida & Smith, Ron, 1996. "Current Account Solvency and the Feldstein-Horioka Puzzle," Economic Journal, Royal Economic Society, vol. 106(436), pages 620-27, May. [Downloadable!] (restricted)
  14. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," UNU-MERIT Working Paper Series 012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
  15. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, vol. 69(1), pages 211-240, September. [Downloadable!] (restricted)
  16. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January. [Downloadable!] (restricted)
  17. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June. [Downloadable!] (restricted)
  18. Wu, Yangru, 1996. "Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 54-63, February. [Downloadable!] (restricted)
  19. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
    Other versions:
  20. MacDonald, Ronald, 1996. "Panel unit root tests and real exchange rates," Economics Letters, Elsevier, vol. 50(1), pages 7-11, January. [Downloadable!] (restricted)
  21. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November. [Downloadable!] (restricted)
  22. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  23. Fung, Hung-Gay & Lo, Wai-Chung, 1992. "Deviations from Purchasing Power Parity," The Financial Review, Eastern Finance Association, vol. 27(4), pages 553-70, November.
  24. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)
  25. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)
  26. Katarina Juselius & Søren Johansen, 2005. "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers 05-05, University of Copenhagen. Department of Economics. [Downloadable!]
  27. Clive Granger, 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series 2004-02, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  28. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
    Other versions:
  29. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
  30. Ashok Parikh, 1994. "Tests of real interest parity in international currency markets," Journal of Economics, Springer, vol. 59(2), pages 167-191, June. [Downloadable!] (restricted)
  31. Mills, Terence C & Taylor, Mark P, 1989. "Random Walk Components in Output and Exchange Rates: Some Robust Tests on UK Data," Bulletin of Economic Research, Blackwell Publishing, vol. 41(2), pages 123-35, April.
Full references

Statistics
Access and download statistics

Did you know? It is the publishers that input data about their publications, as there is no staff at RePEc.

This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.