Structural changes and deviations from the PPP within the Euro Area
This paper focuses on macroeconomic interdependencies among the euro area member countries over the period 1984-2002. The theoretical framework builds on the generalized purchasing power parity hypothesis, which is empirically tested using vector error correction models with broken deterministic components. The euro area turns out to be an integrated entity, even if national economies still exhibit a certain degree of heterogeneity. The results also suggest that up to now the “euro-effect” in fostering integration within the euro area has been quite weak.
|Date of creation:||Sep 2005|
|Date of revision:|
|Contact details of provider:|| Postal: Via Cesare Balbo 16, Roma|
Web page: http://www.istat.it/en/
More information through EDIRC
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.:
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 58-83, March.
- Sergio Nardis, 2004. "Currency unions and trade: The special case of EMU," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 140(3), pages 625-649, September.
- Sergio Nardis & Claudio Vicarelli, 2003. "Currency unions and trade: The special case of EMU," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 139(4), pages 625-649, December.
- Frankel, Jeffrey A. & Rose, Andrew K., 1997. "Is EMU more justifiable ex post than ex ante?," European Economic Review, Elsevier, vol. 41(3-5), pages 753-760, April.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Mongelli, Francesco Paolo, 2002.
"ìNew" Views on the Optimum Currency Area Theory: What is EMU Telling US?,"
Royal Economic Society Annual Conference 2002
140, Royal Economic Society.
- Mongelli, Francesco Paolo, 2002. ""New" views on the optimum currency area theory: what is EMU telling us?," Working Paper Series 0138, European Central Bank.
- Enders, Walter & Hurn, Stan, 1994. "Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim," Review of International Economics, Wiley Blackwell, vol. 2(2), pages 179-90, June.
- Favero, Carlo A. & Giavazzi, Francesco & Spaventa, Luigi, 1996.
"High Yields: The Spread on German Interest Rates,"
CEPR Discussion Papers
1330, C.E.P.R. Discussion Papers.
- Carlo Favero & Francesco Giavazzi & Luigi Spaventa, 1996. "High Yields: The Spread on German Interest Rates," NBER Working Papers 5408, National Bureau of Economic Research, Inc.
- Carlo Ambrogio Favero & Francesco Giavazzi & Luigi Spaventa, . "High Yielders: the Spread on German Interest Rates," Working Papers 102, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Ken Froot & Kenneth Rogoff, .
"Perspectives on PPP and Long-Run Real Exchange Rates,"
32027, Harvard University OpenScholar.
- Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
- Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"Cointegration analysis in the presence of structural breaks in the deterministic trend,"
Royal Economic Society, vol. 3(2), pages 216-249.
- Bent Nielsen & Soren Johansen & Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
- Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
- Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, March.
- 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.
- Barry Eichengreen, 1991.
"Is Europe an Optimum Currency Area?,"
NBER Working Papers
3579, National Bureau of Economic Research, Inc.
- Barry Eichengreen., 1990. "Is Europe an Optimum Currency Area?," Economics Working Papers 90-151, University of California at Berkeley.
- Eichengreen, Barry, 1990. "Is Europe an Optimum Currency Area?," Department of Economics, Working Paper Series qt40m5g6pp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Eichengreen, Barry, 1990. "Is Europe an Optimum Currency Area?," CEPR Discussion Papers 478, C.E.P.R. Discussion Papers.
- Konstantinos Mouratidis, 2001. "Do Emu Countries Constitute an Optimum Currency Area? An Empirical Test of the Generalised Purchasing Power Parity Hypothesis," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 4(2), pages 49-70, November.
- Lucio Sarno, 1997. "Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity," Applied Economics, Taylor & Francis Journals, vol. 29(5), pages 591-605.
- Francesco Carlucci & Alessandro Girardi, 2004. "National Specifities and Monetary-Policy Trasmission in Europe," Working Papers 73, University of Rome La Sapienza, Department of Public Economics.
- George Demopoulos & Nicholas Yannacopoulos, 1999. "Conditions for Optimality of a Currency Area," Open Economies Review, Springer, vol. 10(3), pages 289-303, July.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Lee, Minsoo & Nziramasanga, Mudziviri & Ahn, Sung K., 2002. "The real exchange rate: an alternative approach to the PPP puzzle," Journal of Policy Modeling, Elsevier, vol. 24(6), pages 533-538, October.
When requesting a correction, please mention this item's handle: RePEc:isa:wpaper:57. 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: (Stefania Rossetti)
If references are entirely missing, you can add them using this form.