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

Franco Bevilacqua and Cinzia Daraio ()

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

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).

Keywords: AR model; cointegration; purchasing power parity; un-covered interest rate parity. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ets and nep-ifn
Date: 2001-12-30
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Persistent link: http://EconPapers.repec.org/RePEc:ssa:lemwps:2001/19

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