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Inflation, exchange rates and PPP in a multivariate panel cointegration model

Jacobson, Tor; Lyhagen, Johan; Larsson, Rolf; Nessén, … - In: The econometrics journal 11 (2008) 1, pp. 58-79

Persistent link: https://www.econbiz.de/10003648613

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Exchange rates and monetary fundamentals : what do we learn from long-horizon regressions?

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The relationship between RMB exchange rate and Chinese trade balance : evidence from a bootstrap rolling window approach

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Inflation, exchange rates and PPP in a multivariate panel cointegration model

Jacobson, Tor; Lyhagen, Johan; Larsson, Rolf; Nessén, … - 2002

New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major economies in Europe; France, Germany, Italy and the United Kingdom for the post-Bretton Woods period. We test for purchasing power parity between these four countries and find that the...

Persistent link: https://www.econbiz.de/10011584764