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Price–price deviations are highly persistent

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  • Vaona, Andrea

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, Japan and the US – across different time periods, econometric approaches and methods of computing direct and production prices. Results can change depending on these 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.

Suggested Citation

  • Vaona, Andrea, 2015. "Price–price deviations are highly persistent," Structural Change and Economic Dynamics, Elsevier, vol. 33(C), pages 86-95.
  • Handle: RePEc:eee:streco:v:33:y:2015:i:c:p:86-95
    DOI: 10.1016/j.strueco.2015.04.003
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    References listed on IDEAS

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    Cited by:

    1. Andrea Vaona, 2014. "A panel data approach to price–value correlations," Empirical Economics, Springer, vol. 47(1), pages 21-34, August.

    More about this item

    Keywords

    Market prices; Direct prices; Production prices; Deviations; Persistence;

    JEL classification:

    • B51 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - Socialist; Marxian; Sraffian
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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