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Price-price deviations are highly persistent - extended version

Author

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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.

Suggested Citation

  • Andrea Vaona, 2012. "Price-price deviations are highly persistent - extended version," Working Papers 08/2012, University of Verona, Department of Economics.
  • Handle: RePEc:ver:wpaper:08/2012
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    References listed on IDEAS

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    Keywords

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

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