Structural changes and deviations from the PPP within the Euro Area
AbstractThis paper focuses on macroeconomic interdependencies among the euro area member countries over the period 1984-2002. The theoretical framework builds on the generalized purchasing power parity hypothesis, which is empirically tested using vector error correction models with broken deterministic components. The euro area turns out to be an integrated entity, even if national economies still exhibit a certain degree of heterogeneity. The results also suggest that up to now the “euro-effect” in fostering integration within the euro area has been quite weak.
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Bibliographic InfoPaper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 57.
Length: 36 pages
Date of creation: Sep 2005
Date of revision:
Euro area; purchasing power parity; cointegration; structural breaks;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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