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City price convergence in Turkey with structural breaks

  • Bilgili, Faik

This paper explores relative price convergence for 18 cities in Turkey. The convergence implies stationarity in the long run. Henceforth, to observe whether price convergence occurs or not, this study conducts unit root tests following Lee and Strazicich (2003) with two structural breaks in level and/or trend. The test statistics reveal that 13 out of 18 consumer price indexes converge. The half-life measurement points out that the speed of convergence of each city is considerably high. This result indicates that the half of the cumulative shocks persists for a short time period.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 54295.

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Date of creation: Oct 2011
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Handle: RePEc:pra:mprapa:54295
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  1. Sonora, Robert J., 2008. "Bivariate relative city price convergence in the United States: 1918-1997," Review of Financial Economics, Elsevier, vol. 17(2), pages 92-111.
  2. Bilgili, Faik, 2010. "Energy tax harmonization in EU: Time series and panel data evidence," MPRA Paper 24013, University Library of Munich, Germany.
  3. Robert Sonora, 2009. "City relative price convergence in the USA with structural break(s)," Applied Economics Letters, Taylor & Francis Journals, vol. 16(9), pages 939-944.
  4. Mario J. Crucini & Mototsugu Shintani, 2006. "Persistence in Law-of-One-Price Deviations: Evidence from Micro-data," Levine's Bibliography 321307000000000311, UCLA Department of Economics.
  5. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  6. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
  7. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  8. Yin-Wong Cheung & Kon S. Lai, 1999. "On Cross-Country Differences in the Persistence of Real Exchange Rates," CESifo Working Paper Series 218, CESifo Group Munich.
  9. Lee, Chien-Chiang & Chang, Chun-Ping, 2008. "Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks," Economic Modelling, Elsevier, vol. 25(2), pages 312-325, March.
  10. Lee, Junsoo & Strazicich, Mark C, 2001. " Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-58, December.
  11. Stephen Cecchetti & Nelson C. Mark & Robert Sonora, 1998. "Price Level Convergence Among United States Cities: Lessons for the European Central Bank," Working Papers 32, Oesterreichische Nationalbank (Austrian Central Bank).
  12. Hiranya K. Nath & Jayanta Sarkar, 2007. "Unbiased Estimation of the Half-Life to Price Index Convergence among US Cities," Working Papers 0703, Sam Houston State University, Department of Economics and International Business.
  13. Robert J. Sonora, 2005. "City CPI Convergence in Mexico," Review of Development Economics, Wiley Blackwell, vol. 9(3), pages 359-367, 08.
  14. Janet Ceglowski, 2003. "The law of one price: intranational evidence for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 36(2), pages 373-400, May.
  15. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  16. Bilgili, Faik, 2003. "Dynamic implications of fiscal policy: Crowding-out or crowding-in?," MPRA Paper 24111, University Library of Munich, Germany, revised 25 Dec 2009.
  17. Doğan, İbrahim & Bilgili, Faik, 2014. "The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach," Economic Modelling, Elsevier, vol. 39(C), pages 213-220.
  18. Syed Basher & Josep Carrion-i-Silvestre, 2011. "Measuring persistence of U.S. city prices: new evidence from robust tests," Empirical Economics, Springer, vol. 41(3), pages 739-745, December.
  19. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  20. Philippe Burger & Lizelle janse Van rensburg, 2008. "Metropolitan House Prices In South Africa: Do They Converge?," South African Journal of Economics, Economic Society of South Africa, vol. 76(2), pages 291-297, 06.
  21. Ercan Uygur, 2001. "Krizden Krize Türkiye: 2000 Kasým ve 2001 Þubat Krizleri," Working Papers 2001/1, Turkish Economic Association, revised Apr 2001.
  22. Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
  23. Strazicich, Mark C. & Lee, Junsoo & Day, Edward, 2004. "Are incomes converging among OECD countries? Time series evidence with two structural breaks," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 131-145, March.
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