International parity relationships between the USA and Japan

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Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate (2010, result): “The rst cointegrating relation involves the long-term real interest rate spread and ppp. Similar relationships have previously been found in Juselius (1995, 2006, Chapter 21) and Juselius and MacDonald (2004, 2007).”
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, background): “While excess kurtosis does not introduce a significant bias to the estimated cointegrating vectors the findings are sensitive to excess skewness (Juselius and MacDonald, 2004; Juselius, 2006).”