Luca, Fanelli; Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria - 2006
This paper addresses the problem of measuring the speed of adjustment of exchange rates and relative prices to purchasing power parity (PPP), in the multivariate context of Vector Autoregressive Processes (VAR). We consider the speed of adjustment of one variable y in response to another...