Helg, Rodolfo; Serati, Massimiliano - IGIER (Innocenzo Gasparini Institute for Economic …
In this paper we focus on the post Bretton Woods period and analyze whether a PPP relationship holds and what is the speed of adjustment to it. We adopt a multivariate system approach in which, initially, we test for cointegration and then we try to identify a cointegration space in which we...