Convergence and Cointegration
This paper provides a new, united, and flexible framework to measure and characterize convergence in prices. We formally define this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of s...
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2011 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/49011 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/49011 |
| Access Level: | acceso abierto |
| Palabra clave: | Price convergence Cointegration Law of one price. Macroeconomía 5307.14 Teoría Macroeconómica |
| Sumario: | This paper provides a new, united, and flexible framework to measure and characterize convergence in prices. We formally define this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of such transi-tional behaviors and the development of testing procedures. Speci¯cally, we derive a statistical test to determine whether convergence exists and, if so, which type: as catching-up or steady-state. The application of this methodology to historic wheat prices results in a novel explanation of the convergence processes experienced during the 19th century. |
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