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.

Price-price deviations are highly persistent. WP Series University of Verona Department of Economics (ISSN 2036-2919), 08/2012

VAONA, Andrea
2012

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.
persistence; panel data; market prices; production prices; labor values
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/438140
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