The joint tests of the parity conditions: evidence from a small open economy

DOI10.1007/978-3-030-85254-2_5MaRDI QIDQ6637738

Veli Durmuşoğlu, Kadir Y. Eryiğit

Publication date: 13 November 2024

zbMATH Keywords

cointegrationinterest ratespricesexchange ratesstructural breaks

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• 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
• Cointegration analysis in the presence of structural breaks in the deterministic trend

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