Advanced Search
MyIDEAS: Login to save this paper or follow this series

Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests

Contents:

Author Info

  • Basher, Syed Abul
  • Carrion-i-Silvestre, Josep Lluis

Abstract

This paper revisits the empirical analysis in Cecchetti, Mark and Sonora (2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around nine years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise tests of price level convergence.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/22482/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 22482.

as in new window
Length:
Date of creation: 04 May 2010
Date of revision:
Handle: RePEc:pra:mprapa:22482

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Purchasing power parity; Price level convergence; Half-life; Multiple structural breaks; Pairwise convergence.;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(2), pages 228-48, April.
  2. M. Hashem Pesaran & Ron Smith & Takashi Yamagata & Lyudmyla Hvozdyk, 2009. "Pairwise Tests of Purchasing Power Parity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(6), pages 495-521.
  3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  4. Robert Sonora, 2009. "City relative price convergence in the USA with structural break(s)," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(9), pages 939-944.
  5. Chen, L. L. & Devereux, J., 2003. "What can US city price data tell us about purchasing power parity?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 213-222, April.
  6. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 34(2), pages 647-668, June.
  7. Stephen G. Cecchetti & Nelson C. Mark & Robert J. Sonora, 2002. "Price Index Convergence Among United States Cities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1081-1099, November.
  8. Hiranya K. Nath & Jayanta Sarkar, 2007. "Unbiased Estimation of the Half-Life to Price Index Convergence among US Cities," Working Papers, Sam Houston State University, Department of Economics and International Business 0703, Sam Houston State University, Department of Economics and International Business.
  9. Basher Syed A. & Carrion-i-Silvestre Josep Lluís, 2009. "Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities," Journal of Time Series Econometrics, De Gruyter, De Gruyter, vol. 1(1), pages 1-38, April.
  10. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(2), pages 187-204, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Sonora, Robert, 2010. "Asymmetries in New Keynesian Phillips Curves: Evidence from US Cities," MPRA Paper 24650, University Library of Munich, Germany.
  2. repec:qut:auncer:2013_01 is not listed on IDEAS
  3. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Hamzah, Nor Aishah, 2013. "Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 634-642.
  4. Hegwood, Natalie D. & Nath, Hiranya K., 2013. "Structural breaks and relative price convergence among US cities," Journal of Macroeconomics, Elsevier, Elsevier, vol. 36(C), pages 150-160.
  5. Bilgili, Faik, 2011. "City price convergence in Turkey with structural breaks," MPRA Paper 54295, University Library of Munich, Germany.
  6. Jayanta Sarkar & Hiranya K. Nath, 2013. "City Relative Price Dynamics in Australia: Are Structural Breaks Important?," Working Papers, Sam Houston State University, Department of Economics and International Business 1301, Sam Houston State University, Department of Economics and International Business.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:22482. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.