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International parity relationships between Germany and US: a multivariate time series analysis for the post Bretton-Woods period

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Author Info

  • Franco Bevilacqua
  • Cinzia Daraio

Abstract

This 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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File URL: http://www.lem.sssup.it/WPLem/files/2001-19.pdf
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Bibliographic Info

Paper 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.

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Date of creation: 30 Dec 2001
Date of revision:
Handle: RePEc:ssa:lemwps:2001/19

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Related research

Keywords: AR model; cointegration; purchasing power parity; un-covered interest rate parity.;

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References

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  1. 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.
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Cited by:
  1. 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).
  2. 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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