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Identifying the source of dynamics in disaggregated import data

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  • Kenneth Kasa

    (Research Department M|S 1130, Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105, USA)

Abstract

This paper uses Kennan's (1988) model to separately identify supply-side and demand-side dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply- and demand-side fundamentals, and from lagged adjustment to these shocks. The model consists of a pair of partial adjustment models in which consumers and producers each attempt to follow a stochastic target level of imports subject to a quadratic adjustment cost. The model is applied to quarterly data on US imports of seven narrowly defined commodities: Autos, Beer, Cameras, Wine, Cigars, Tea, and Soap. Two main results emerge. First, adjustment costs are important on both sides of the market. Second, supply-side adjustment costs are larger than demand-side adjustment costs. © 1998 John Wiley & Sons, Ltd.

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File URL: http://qed.econ.queensu.ca:80/jae/1998-v13.3/
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 13 (1998)
Issue (Month): 3 ()
Pages: 305-320

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Handle: RePEc:jae:japmet:v:13:y:1998:i:3:p:305-320

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Cited by:
  1. Mita Bhattacharya & Michael Olive, 2007. "Adjustment Of Pricing: Evidence From Indian Manufacturing," Development Research Unit Working Paper Series 04-07, Monash University, Department of Economics.
  2. Michael Olive, 2004. "Price Adjustment with Price Conjectures," Econometric Society 2004 Australasian Meetings 131, Econometric Society.

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