International Parity Relationships between Germany and Us: A Multivariate Time Series Analysis for the Post Bretton-Woods Period
LEM Working Paper No. 2001/19
41 Pages Posted: 1 Mar 2002
Date Written: June 2001
This paper investigates the effects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating international parity relationships found by Juselius and MacDonald (2000).
Our empirical analysis outstandingly produced results similar to the ones obtained by Juselius and MacDonald, suggesting that the cointegration relationships in the international parity conditions hold both for CPI and WPI.
Keywords: VAR model, cointegration, purchasing power parity, uncovered interest rate parity
JEL Classification: E31, E43, F31, F32
Suggested Citation: Suggested Citation