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

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  • Franco Bevilacqua
  • Cinzia Daraio

Abstract

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).

Suggested Citation

  • 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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    File URL: http://www.lem.sssup.it/WPLem/files/2001-19.pdf
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    References listed on IDEAS

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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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    Cited by:

    1. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 2006-016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    2. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 2006-012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).

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    More about this item

    Keywords

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