6533b86efe1ef96bd12cbe72
RESEARCH PRODUCT
Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC
Cecilio TamaritMariam Camarerosubject
Economics and EconometricsExchange ratePurchasing power parityInterest rate parityCointegrationRelative purchasing power parityEuropean integrationEconometricsEuropean Monetary SystemEconomicsEmpirical evidencedescription
The aim of this paper is to find some empirical evidence on Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) in the Spanish case vis a vis the European Community for the period 1980–89. The main contribution of the paper is the aggregation of the variables corresponding to the countries that participate in the exchange rate mechanism of the European Monetary System. The results support the importance of the interest differential as an explanatory variable for the short-term adjustment to the PPP. The results follow from powerful estimation techniques, applied in the framework of a multivariate error-correction model using the maximum-likelihood procedure as developed by Johansen and Juselius (1992).
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1996-01-01 | Open Economies Review |