Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for Poland

• Autorzy: Kazimierz Krauze
• Języki publikacji: EN

Abstrakty

EN

Purchasing power parity (PPP) is an important subject of discussion among international economists. The PPP theory relates to the law of one price of a commodity in the world. It does not apply to nontraded goods. This limitation can be relaxed by inclusion of a long run implication of the uncovered interest parity (UIP) law. The literature on testing the PPP and the UIP theories is extensive and includes Juselius, Johansen and Juselius, Johansen, Ledesma, Navaro, Perez and Sosvilla, among others. The context of structural breaks to this problem has been included, in particular, by Montañés and Clemente, Maddala and Kim, and also by Krauze. The paper is organized as follows. Section 1 presents basic hypotheses and testing procedures. Section 2 contains an empirical analysis of the PPP and the UIP hypotheses for Poland. The conclusions from our research end the paper. (fragment of text)

Słowa kluczowe

EN

Finance; Information science; Statistical methods; Financial mathematics; Purchasing power parity

PL

Finanse; Informatyka; Metody statystyczne; Matematyka finansowa; Parytet siły nabywczej

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2006
• Tom: Mathematical, econometrical and computational methods in finance and insurance
• Strony: 52--63

Twórcy

autor

Kazimierz Krauze

• Maritime Academy Gdynia, Poland

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