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


  • Franco Bevilacqua
  • Cinzia Daraio


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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  • Franco Bevilacqua & Cinzia Daraio, 2001. "International parity relationships between Germany and US: a multivariate time series analysis for the post Bretton-Woods period," LEM Papers Series 2001/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Handle: RePEc:ssa:lemwps:2001/19

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

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