|
|
|
|
||||
|
||||
Do Markup Dynamics Reflect Fundamentals or Changes in Conduct?Mikael JuseliusBank for International Settlements (BIS) - Monetary and Economic Department; Hanken School of Economics - Department of Economics; University of Helsinki - Department of Political and Economic Studies Moshe KimUniversity of Haifa - Department of Economics; Universitat Pompeu Fabra - Faculty of Economic and Business Sciences Staffan RingbomSwedish School of Economics and Business Administration April 24, 2009 Bank of Finland Research Discussion Paper No. 12/2009 Abstract: Persistent shifts in equilibria are likely to arise in oligopolistic markets and may be detrimental to the measurement of conduct, related markups and intensity of competition. We develop a cointegrated VAR (vector autoregression) based approach to detect long-run changes in conduct when data are difference stationary. Importantly, we separate the components in markups which are exclusively related to long-run changes in conduct from those explained solely by fundamentals. Our approach does not require estimation of markups and conduct directly, thereby avoiding complex problems in existing methodologies related to multiple and changing equilibria. Results from applying the model to US and five major European banking sectors indicate substantially different behavior of conventional raw markups and conduct-induced markups.
Number of Pages in PDF File: 48 Keywords: markups, cointegration, VAR, macroeconomic fundamentals, competition, banking JEL Classification: C32, C51, G20, L13, L16 working papers seriesDate posted: July 4, 2009Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.375 seconds
