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

Bevilacqua, Franco (2006). Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period. UNU-MERIT.

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  • Author Bevilacqua, Franco
    Title Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period
    Publication Date 2006
    Publisher UNU-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.
    Keyword PPP
    UIP
    Fisher parity
    Bretton-woods regime
    JEL E31
    E43
    F31
    F32
    Copyright Holder UNU-MERIT
    Copyright Year 2006
    ISSN 1871-9872
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    Created: Wed, 11 Dec 2013, 16:07:18 JST