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Integration et cointegration : les prix dans les secteurs canadien et americain de la fabrication obeissent-ils a la loi du prix unique?

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  • Bernard, Andre Warren, Paul Yan, Beiling

Abstract

La presente etude s'appuie sur une base de donnees detaillees, au niveau de l'industrie, sur les prix dans le secteur de la fabrication au Canada et aux Etats Unis en vue de determiner si ces prix sont cointegres dans les deux pays et si la relation entre les deux ensembles de prix obeit a la loi du prix unique. Nous constatons que dans le long terme, les mouvements des prix canadiens agreges suivent de pres, quoiqu'imparfaitement, ceux des prix americains. Par contre, dans le court terme, les divergences par rapport a la loi du prix unique sont importantes. De surcroit, nombre d'industries s'ecartent individuellement de cette loi. Ces ecarts dependent du niveau de protection tarifaire et du degre de differenciation des produits au niveau de l'industrie.

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Bibliographic Info

Paper provided by Statistics Canada, Direction des etudes analytiques in its series Serie de documents de recherche sur l'analyse economique (AE) with number 2005029f.

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Date of creation: 15 Feb 2005
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Handle: RePEc:stc:stcp5f:2005029f

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Keywords: Fabrication; Rendement des entreprises et appartenance; Prix et indices des prix; Adaptation et ajustement des entreprises; Comparaisons des prix intervilles et internationaux;

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  1. O'Connell, Paul G. J., 1998. "The overvaluation of purchasing power parity," Journal of International Economics, Elsevier, vol. 44(1), pages 1-19, February.
  2. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
  3. Rogers, John H. & Jenkins, Michael, 1995. "Haircuts or hysteresis? Sources of movements in real exchange rates," Journal of International Economics, Elsevier, vol. 38(3-4), pages 339-360, May.
  4. Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 2," Cowles Foundation Discussion Papers 819R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1987.
  5. Richardson, J. David, 1978. "Some empirical evidence on commodity arbitrage and the law of one price," Journal of International Economics, Elsevier, vol. 8(2), pages 341-351, May.
  6. Giovannini, Alberto, 1988. "Exchange rates and traded goods prices," Journal of International Economics, Elsevier, vol. 24(1-2), pages 45-68, February.
  7. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  8. Pinelopi K. Goldberg & Michael M. Knetter, 1996. "Goods Prices and Exchange Rates: What Have We Learned?," NBER Working Papers 5862, National Bureau of Economic Research, Inc.
  9. Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
  10. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
  11. Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996. "Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," CEPR Discussion Papers 1464, C.E.P.R. Discussion Papers.
  12. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  13. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.
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Cited by:
  1. Baldwin, John R. Yan, Beiling, 2006. "Les mouvements cycliques du taux de change et les prix dans les secteurs canadien et americain de la fabrication," Serie de documents de recherche sur l'analyse economique (AE) 2006041f, Statistics Canada, Direction des etudes analytiques.

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