Data set for the United Kingdom: ppp and uip
This data set contains the series used by in Johansen and Juselius (1992), Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.
data(UKpppuip)
A data frame of quarterly data ranging from 1971:Q1 until 1987:Q2. All variables are expressed in logarithms.
p1 |
UK wholesale price index. |
p2 |
Trade weighted foreign whole sale price index. |
e12 |
UK effective exchange rate. |
i1 |
Three-month treasury bill rate in the UK. |
i2 |
Three-month Eurodollar interest rate. |
dpoil0 |
World oil price at period t. |
dpoil1 |
World oil price at period t-1.
|
Bernhard Pfaff
Johansen, S. and K. Juselius (1992), Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.
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