Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
No abstract is available for this item.
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.:
- Peter Kugler & Carlos Lenz, 1990.
"Multivariate Cointegration Analysis and the Long-run Validity of PPP,"
dp9004, Universitaet Bern, Departement Volkswirtschaft.
- Kugler, Peter & Lenz, Carlos, 1993. "Multivariate Cointegration Analysis and the Long-Run Validity of PPP," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 180-84, February.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Davidson, James E H, 1985. "Econometric Modelling of the Sterling Effective Exchange Rate," Review of Economic Studies, Wiley Blackwell, vol. 52(2), pages 231-50, April.
- Adler, Michael & Lehmann, Bruce, 1983. " Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 38(5), pages 1471-87, December.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- Mariam Camarero & Cecilio Tamarit, 1996. "Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC," Open Economies Review, Springer, vol. 7(1), pages 61-76, January.
- Mark Taylor, 1987. "Risk premia and foreign exchange: A multiple time series approach to testing uncovered interest-rate parity," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 123(4), pages 579-591, December.
- Frankel, Jeffrey A., 1982. "In search of the exchange risk premium: A six-currency test assuming mean-variance optimization," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 255-274, January.
- 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.
- MacDonald, Ronald, 1993.
"Long-Run Purchasing Power Parity: Is It for Real?,"
The Review of Economics and Statistics,
MIT Press, vol. 75(4), pages 690-95, November.
- Diebold, Francis X & Husted, Steven & Rush, Mark, 1991.
"Real Exchange Rates under the Gold Standard,"
Journal of Political Economy,
University of Chicago Press, vol. 99(6), pages 1252-71, December.
- Francis X. Diebold & Steven Husted & Mark Rush, 1990. "Real exchange rates under the gold standard," Discussion Paper / Institute for Empirical Macroeconomics 32, Federal Reserve Bank of Minneapolis.
- 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.
- Rogoff, Kenneth, 1984. "On the effects of sterilized intervention : An analysis of weekly data," Journal of Monetary Economics, Elsevier, vol. 14(2), pages 133-150, September.
- Mark P. Taylor & Ronald MacDonald, 1991.
"Exchange Rate Economics: A Survey,"
IMF Working Papers
91/62, International Monetary Fund.
- 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.
- Fisher, Eric O'N & Park, Joon Y, 1991. "Testing Purchasing Power Parity under the Null Hypothesis of Co-integration," Economic Journal, Royal Economic Society, vol. 101(409), pages 1476-84, November.
When requesting a correction, please mention this item's handle: RePEc:eee:jpolmo:v:23:y:2001:i:6:p:637-650. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.