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

See all articles by Franco F. Bevilacqua

Franco F. Bevilacqua

Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)

Cinzia C. Daraio

Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM); Institute for Informatics and Telematics (IIT CNR)

Date Written: June 2001

Abstract

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

Bevilacqua, Franco F. and Daraio, Cinzia C., International Parity Relationships between Germany and Us: A Multivariate Time Series Analysis for the Post Bretton-Woods Period (June 2001). LEM Working Paper No. 2001/19, Available at SSRN: https://ssrn.com/abstract=301905 or http://dx.doi.org/10.2139/ssrn.301905

Franco F. Bevilacqua

Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) ( email )

Piazza Martiri della Liberta, 33
Pisa, I-56127
Italy

Cinzia C. Daraio (Contact Author)

Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) ( email )

Piazza Martiri della Liberta, 33
Pisa, I-56127
Italy

Institute for Informatics and Telematics (IIT CNR)

Via G-. Moruzzi, 1
Pisa, Pisa I 56127
Italy
+39 050 883 111 (Phone)
+39 050 883 344 (Fax)

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