Stazka, Agnieszka (2008): International parity relations between Poland and Germany: a cointegrated VAR approach. Published in: Bank i Kredyt No. 03/2008
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This paper analyses empirically the purchasing power parity, the uncovered interest parity and the real interest parity (Fisher parity) between Poland and Germany. The international parity relations are investigated jointly within the cointegrated VAR framework. Our analysis fails to find evidence that the parities, or any linear combinations of them, hold for our data set. We identify two long-run equilibrium relations: one imposing a long-run homogeneity restriction on the domestic (i.e. Polish) and foreign (i.e. German) inflation and the domestic interest rate and one that brings together the domestic real interest rate and the foreign inflation. Another interesting result is the weak exogeneity of the deviation of the real exchange rate from the PPP and the strong exogeneity of the German interest rate.
|Item Type:||MPRA Paper|
|Original Title:||International parity relations between Poland and Germany: a cointegrated VAR approach|
|Keywords:||cointegrated VAR, PPP, UIP, Fisher parity, Poland|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Agnieszka Stazka-Gawrysiak|
|Date Deposited:||22. Jul 2010 14:16|
|Last Modified:||18. Feb 2013 00:53|
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