Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period

Franco Bevilacqua (f.bevilacqua@merit.unimaas.nl)
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Franco Bevilacqua: United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology

No 2006-016, MERIT Working Papers from United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT)

Abstract: Juselius (1995), MacDonald (2000), Juselius and MacDonald (2000) provided an explanation to some basic issues in international monetary economics concerning the validity of parity conditions. This paper instead restricts the analysis to the years between 1957 and 1969 and the countries under scrutiny are Germany and USA. Results can be easily compared with the Post Bretton Woods analysis by Juselius and MacDonald (2000). The main result of this paper is that important cointegration relationships found for the Post Bretton-Woods by Juselius and MacDonald (2000) essentially hold for the Bretton-Woods period as well, albeit the two periods were characterized by distinct exchange rate regimes and a different regulation in capital markets.

Keywords: ppp; uip; Fisher parity; Bretton-Woods regime (search for similar items in EconPapers)
JEL-codes: E31 E43 F31 F32 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:unm:unumer:2006016

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