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Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat

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  • Gouriéroux, Christian

    (CREST)

  • Peaucelle, Irina

    (CNRS)

Abstract

We extend the ideas of cointegration theory to the case of stationary series, by introducing the notions of persistence degree and of codependence vectors. These give the directions which are the less sensitive to the shocks. Then these notions are applied to the study of relative purchasing power parity hypothesis between France and Germany. Nous étendons les idées de la cointégration au cas de séries stationnaires, en introduisant les notions de degré de persistance des chocs et de vecteurs de codépendance, directions peu sensibles à ces chocs. Ces notions sont ensuite appliquées à l’étude de la parité du pouvoir d’achat en relatif entre la France et l’Allemagne.

Suggested Citation

  • Gouriéroux, Christian & Peaucelle, Irina, 1992. "Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 283-304, mars et j.
  • Handle: RePEc:ris:actuec:v:68:y:1992:i:1:p:283-304
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    1. Officer, Lawrence H, 1978. "The Relationship between Absolute and Relative Purchasing Power Parity," The Review of Economics and Statistics, MIT Press, vol. 60(4), pages 562-568, November.
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    3. Kravis, Irving B, 1984. "Comparative Studies of National Incomes and Prices," Journal of Economic Literature, American Economic Association, vol. 22(1), pages 1-39, March.
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    7. Genberg, Hans, 1978. "Purchasing power parity under fixed and flexible exchange rates," Journal of International Economics, Elsevier, vol. 8(2), pages 247-276, May.
    8. Mark Rush & Steven Husted, 1985. "Purchasing Power Parity in the Long Run," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 137-145, February.
    9. Adler, Michael & Lehmann, Bruce, 1983. " Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 38(5), pages 1471-1487, December.
    10. Kugler, Peter & Neusser, K, 1993. "International Real Interest Rate Equalization: A Multivariate Time-Series Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(2), pages 163-174, April-Jun.
    11. John Pippenger, 1982. "Purchasing Power Parity: An analysis of Predictive Error," Canadian Journal of Economics, Canadian Economics Association, vol. 15(2), pages 335-346, May.
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    15. repec:crs:wpaper:9107 is not listed on IDEAS
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    Cited by:

    1. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
    2. Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
    3. Cesar Sobrino & Ellis Heath, 2013. "Currency Area and Non-synchronized Business Cycles between the US and Puerto Rico," Economics Bulletin, AccessEcon, vol. 33(3), pages 1948-1958.
    4. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
    5. Beine, Michel & Hecq, Alain, 1998. "Codependence and Convergence in the EC Economies," Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
    6. Carsten Trenkler & Enzo Weber, 2013. "Codependent VAR models and the pseudo-structural form," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 287-295, July.
    7. Carrasco-Gutierrez, Carlos Enrique & Reis Gomes, Fábio Augusto, 2007. "Evidence on Common Feature and Business Cycle Synchronization in Mercosur," MPRA Paper 66064, University Library of Munich, Germany, revised 2009.
    8. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

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