A co-integration based analysis of Irish purchasing power parity relationships using the Johansen procedure
Item Type:Journal Article
Citation:Wright, Jonathan H. 'A co-integration based analysis of Irish purchasing power parity relationships using the Johansen procedure'. - Economic & Social Review, Vol. 25, No. 3, April, 1994, pp. 261-278, Dublin: Economic & Social Research Institute
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Empirical work has found little evidence for purchasing power parity, specified as a long-run co-integrating relationship between Ireland and trading partners. Using Irish/UK and Irish/German data, we find evidence for such co-integration if and only if the system is augmented by short interest rates. We use the Johansen procedure for estimation and inference on the augmented co-integrating system.
Author: Wright, Jonathan H.
Publisher:Economic & Social Studies
Type of material:Journal Article
Availability:Full text available