Basher, Syed Abul and Carrion-i-Silvestre, Josep Lluis (2010): Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests.
Download (110kB) | Preview
This paper revisits the empirical analysis in Cecchetti, Mark and Sonora (2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around nine years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise tests of price level convergence.
|Item Type:||MPRA Paper|
|Original Title:||Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests|
|Keywords:||Purchasing power parity; Price level convergence; Half-life; Multiple structural breaks; Pairwise convergence.|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models
|Depositing User:||Syed Basher|
|Date Deposited:||05. May 2010 06:17|
|Last Modified:||01. May 2015 05:59|
Andrews, D.W.K. and Chen, H.Y. (1994). Approximately median-unbiased estimation of autoregressive models, Journal of Business and Economic Statistics 12, 187-204.
Balassa, B. (1964). The purchasing parity power doctrine: A reappraisal, Journal of Political Economy 72, 584-596.
Basher, S.A. and Carrion-i-Silvestre, J.L. (2009). Price level convergence, purchasing power parity and multiple structural breaks in panel data analysis: An application to U.S. cities, Journal of Time Series Econometrics 1(1), Article 3.
Cassel, G. (1918). Abnormal deviation in international exchanges, Economic Journal 28, 413-415.
Cecchetti, S.G., Mark, N.C. and Sonora, R.J. (2002). Price index convergence among United States cities, International Economic Review 43, 1081-1099.
Chen, L.L. and Devereux, J. (2003). What can US city price data tell us about purchasing power parity? Journal of International Money and Finance 22, 213-222.
Hamilton, J. D. (1983). Oil and Macroeconomy since World War II, Journal of Political Economy 91, 2, 228-248.
Hansen, B.E. (2001). The new econometrics of structural change: Dating breaks in US labor productivity, Journal of Economic Perspective 15, 117-128.
Nath, H.K. and Sarkar, J. (2009). Unbiased estimation of the half-life to price index convergence among US cities, Journal of Money, Credit and Banking 41, 1041-1046.
Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis, Econometrica 57, 1361-1401.
Pesaran, M.H., Smith, R.P., Yamagata, T. and Hvozdyk L. (2009). Pairwise tests of purchasing power parity, Econometric Reviews 28, 495-521.
Rogoff, K. (1996). The purchasing power parity, Journal of Economic Literature 34, 647-668.
Samuelson, P.A. (1964). Theoretical notes on trade problems, Review of Economics and Statistics 46, 145-154.
Sonora, R. (2009). City relative price convergence in the USA with structural break(s), Applied Economics Letters 16, 939-944.