Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model

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Standard

Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model. / Juselius, Katarina.

I: Journal of Econometrics, Bind 69, Nr. 1, 1995, s. 211-240.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Juselius, K 1995, 'Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model', Journal of Econometrics, bind 69, nr. 1, s. 211-240. https://doi.org/10.1016/0304-4076(94)01669-Q

APA

Juselius, K. (1995). Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model. Journal of Econometrics, 69(1), 211-240. https://doi.org/10.1016/0304-4076(94)01669-Q

Vancouver

Juselius K. Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model. Journal of Econometrics. 1995;69(1):211-240. https://doi.org/10.1016/0304-4076(94)01669-Q

Author

Juselius, Katarina. / Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model. I: Journal of Econometrics. 1995 ; Bind 69, Nr. 1. s. 211-240.

Bibtex

@article{be72e8f074c611dbbee902004c4f4f50,
title = "Do purchasing power parity and uncovered interest rate parity hold in the long run?: An example of likelihood inference in a multivariate time-series model",
abstract = "The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood function reveals that the vector process is I(2), but that a linear transformation of the prices and the nomical exchange rate removes the I(2) trend from the data. A structural representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the capital market and hence the mechanisms behind the inflationary effects transmitted from abroad",
author = "Katarina Juselius",
note = "JEL classification: C32",
year = "1995",
doi = "10.1016/0304-4076(94)01669-Q",
language = "English",
volume = "69",
pages = "211--240",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - Do purchasing power parity and uncovered interest rate parity hold in the long run?

T2 - An example of likelihood inference in a multivariate time-series model

AU - Juselius, Katarina

N1 - JEL classification: C32

PY - 1995

Y1 - 1995

N2 - The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood function reveals that the vector process is I(2), but that a linear transformation of the prices and the nomical exchange rate removes the I(2) trend from the data. A structural representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the capital market and hence the mechanisms behind the inflationary effects transmitted from abroad

AB - The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood function reveals that the vector process is I(2), but that a linear transformation of the prices and the nomical exchange rate removes the I(2) trend from the data. A structural representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the capital market and hence the mechanisms behind the inflationary effects transmitted from abroad

U2 - 10.1016/0304-4076(94)01669-Q

DO - 10.1016/0304-4076(94)01669-Q

M3 - Journal article

VL - 69

SP - 211

EP - 240

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 156223