International parity relationships between Germany and US: a multivariate time series analysis for the post Bretton-Woods period
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References listed on IDEAS
- 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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KeywordsAR model; cointegration; purchasing power parity; un-covered interest rate parity.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-05-03 (All new papers)
- NEP-CBA-2002-05-03 (Central Banking)
- NEP-ETS-2002-05-03 (Econometric Time Series)
- NEP-IFN-2002-05-03 (International Finance)
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