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Ein Fehlerkorrekturmodell zur Kaufkraftparitätentheorie

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  • Fischer, Christoph

Abstract

Die relative Kaufkraftparitätentheorie (KKPT) wird am Beispiel des DM-Peseten-Kurses auf ihre Stichhaltigkeit in der langen Frist überprüft. Methodisch wird dabei auf zwei Verfahren der Kointegrationsanalyse zurückgegriffen. Trotz einer Vielzahl von Ansätzen kann nur in zwei Fällen Kointegration der beteiligten Variablen angenommen werden. In diesen Fällen wird jeweils ein Fehlerkorrekturmodell zur KKPT geschätzt. Tests auf schwache Exogenität weisen im Widerspruch zur KKPT auf einen exogenen nominalen Wechselkurs lind auf einen endogenen spanischen Preisindex hin.

Suggested Citation

  • Fischer, Christoph, 1996. "Ein Fehlerkorrekturmodell zur Kaufkraftparitätentheorie," Arbeitspapiere des Instituts für Statistik und Ökonometrie 10, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
  • Handle: RePEc:zbw:maista:10
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    Cited by:

    1. Schulze, Peter M., 2009. "Seasonal unit root tests for the monthly container transshipment of the port of Hamburg," Arbeitspapiere des Instituts für Statistik und Ökonometrie 45, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.

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