International parity relationships between Germany and US: a multivariate time series analysis for the post Bretton-Woods period

Abstract

This paper investigates the effects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating in-ternational parity relationships found by Juselius and MacDonald (2000).AR model, cointegration, purchasing power parity, un-covered interest rate parity.