ISSN:
1573-708X
Keywords:
purchasing power parity
;
uncovered interest parity
;
exchange rate
;
European integration
;
cointegration
;
weighted variables
;
F31
;
F36
;
C3
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract 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 à 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).
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01886129
Permalink