International parity relationships between Germany and US: a multivariate time series analysis for the post Bretton-Woods period
AbstractThis paper investigates the effects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating in-ternational parity relationships found by Juselius and MacDonald (2000).
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Bibliographic InfoPaper provided by Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 2001/19.
Date of creation: 30 Dec 2001
Date of revision:
AR model; cointegration; purchasing power parity; un-covered interest rate parity.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-05-03 (All new papers)
- NEP-CBA-2002-05-03 (Central Banking)
- NEP-ETS-2002-05-03 (Econometric Time Series)
- NEP-IFN-2002-05-03 (International Finance)
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.:
- 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.
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
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