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Price-price deviations are highly persistent - extended version

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  • Andrea Vaona

    ()
    (Department of Economics (University of Verona))

Abstract

The present paper explores the persistence of the deviations between market prices on one side and either production or direct prices on the other - namely their tendency to vanish after being hit by a shock. We consider various countries - Austria, Denmark, Italy, Norway and Japan - across different time periods and different methods of computing direct and production prices. Results can change depending on such methods, but even the weakest results would point to price-price deviations taking 5 years to shrink by one half after a shock. The strongest results, instead, show no tendency of price-price deviations to disappear.

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Bibliographic Info

Paper provided by University of Verona, Department of Economics in its series Working Papers with number 08/2012.

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Length: 31
Date of creation: Mar 2012
Date of revision:
Handle: RePEc:ver:wpaper:08/2012

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Keywords: market prices; direct prices; production prices; deviations; persistence; dynamic panel data methods;

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References

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  1. Carlos Robalo Marques, 2005. "Inflation persistence: facts or artefacts?," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  2. Roberto Veneziani, 2004. "The Temporal Single-system Interpretation of Marx's Economics: A Critical Evaluation," Metroeconomica, Wiley Blackwell, vol. 55(1), pages 96-114, 02.
  3. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
  4. Vaona, Andrea, 2011. "Profit rate dynamics, income distribution, structural and technical change in Denmark, Finland and Italy," Structural Change and Economic Dynamics, Elsevier, vol. 22(3), pages 247-268, September.
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  8. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  9. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  10. Giovanni S.F. Bruno, 2004. "Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models," KITeS Working Papers 159, KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy, revised Jul 2004.
  11. Lefteris Tsoulfidis, 2002. "Values, prices of production and market prices: some more evidence from the Greek economy," Cambridge Journal of Economics, Oxford University Press, vol. 26(3), pages 359-369, May.
  12. Andrea Vaona, 2011. "Further econometric evidence on the gravitation and convergence of industrial rates of return on regulating capital," Working Papers 08/2011, University of Verona, Department of Economics.
  13. A. P. Thirlwall, 1983. "A Plain Man's Guide to Kaldor's Growth Laws," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 5(3), pages 345-358, April.
  14. Andrea Vaona, 2011. "A panel data approach to price-value correlations," Working Papers 14/2011, University of Verona, Department of Economics.
  15. Simon Mohun, 2004. "The Labour Theory of Value as Foundation for Empirical Investigations," Metroeconomica, Wiley Blackwell, vol. 55(1), pages 65-95, 02.
  16. Lefteris Tsoulfidis, 2008. "Price-value deviations: further evidence from input-output data of Japan," International Review of Applied Economics, Taylor & Francis Journals, vol. 22(6), pages 707-724.
  17. Emilio Díaz & Rubén Osuna, 2008. "Understanding spurious correlation: a rejoinder to Kliman," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 31(2), pages 357-362, December.
  18. Petrovic, Pavle, 1987. "The Deviation of Production Prices from Labour Values: Some Methodology and Empirical Evidence," Cambridge Journal of Economics, Oxford University Press, vol. 11(3), pages 197-210, September.
  19. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  20. Reati, Angelo, 1986. "The Deviation of Prices from Labour Values: An Extension to the Non-competitive Case," Cambridge Journal of Economics, Oxford University Press, vol. 10(1), pages 35-42, March.
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