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Price-price deviations are highly persistent - extended version

  • Andrea Vaona

    ()

    (Department of Economics (University of Verona))

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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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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  1. R Blundell & Steven Bond, . "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
  2. Andrea Vaona, 2011. "A panel data approach to price-value correlations," Working Papers 14/2011, University of Verona, Department of Economics.
  3. Giovanni S. F. Bruno, 2005. "Estimation and inference in dynamic unbalanced panel-data models with a small number of individuals," Stata Journal, StataCorp LP, vol. 5(4), pages 473-500, December.
  4. 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.
  5. Simon Mohun, 2004. "The Labour Theory of Value as Foundation for Empirical Investigations," Metroeconomica, Wiley Blackwell, vol. 55(1), pages 65-95, 02.
  6. Robalo Marques, Carlos, 2004. "Inflation persistence: facts or artefacts?," Working Paper Series 0371, European Central Bank.
  7. 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.
  8. 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.
  9. Andrea Vaona, 2010. "Profit rate dynamics, income distribution, structural and technical change in Denmark, Finland and Italy," Working Papers 11/2010, University of Verona, Department of Economics.
  10. 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.
  11. 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.
  12. Bruno, Giovanni S.F., 2005. "Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models," Economics Letters, Elsevier, vol. 87(3), pages 361-366, June.
  13. 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.
  14. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  15. 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.
  16. Emilio Díaz & Rubén Osuna, 2009. "From correlation to dispersion: geometry of the price-value deviation," Empirical Economics, Springer, vol. 36(2), pages 427-440, May.
  17. Emilio Díaz & Rub�N Osuna, 2006. "Can we trust in cross-sectional price-value correlation measures? some evidence from the case of Spain," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 28(2), pages 345-363, January.
  18. 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.
  19. 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.
  20. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
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