Do markup dynamics reflect fundamentals or changes in conduct?

Mikael Juselius, Moshe Kim, Staffan Ringbom

    Tutkimustuotos: TyöpaperiKeskustelupaperiTieteellinen

    Kuvaus

    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.
    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.
    Alkuperäiskielienglanti
    JulkaisupaikkaHelsinki
    KustantajaBank of Finland
    Sivumäärä44
    ISBN (painettu)978-952-462-506-7
    ISBN (elektroninen)978-952-462-507-4
    TilaJulkaistu - 2009
    OKM-julkaisutyyppiD4 Julkaistu kehittämis- tai tutkimusraportti taikka -selvitys

    Tieteenalat

    • 511 Kansantaloustiede
    • Ranska
    • Belgia
    • Saksa
    • Alankomaat
    • Espanja
    • pankkitoiminta
    • Eurooppa
    • USA
    • mittaus
    • kilpailu
    • hinnoittelu
    • mallit
    • menetelmät
    • VAR

    Lainaa tätä

    Juselius, M., Kim, M., & Ringbom, S. (2009). Do markup dynamics reflect fundamentals or changes in conduct? (Bank of Finland Research Discussion Papers; Nro 12/2009). Helsinki: Bank of Finland.
    Juselius, Mikael ; Kim, Moshe ; Ringbom, Staffan. / Do markup dynamics reflect fundamentals or changes in conduct?. Helsinki : Bank of Finland, 2009. (Bank of Finland Research Discussion Papers; 12/2009).
    @techreport{e0b093167cf7441fa2ad6f5221f2e2d4,
    title = "Do markup dynamics reflect fundamentals or changes in conduct?",
    abstract = "Tiivistelma: Kuvastavatko hintamarginaalit talouden perustekijoiden vai kilpailukayttaytymisen muutoksia?",
    keywords = "511 Economics, kilpailu, Ranska, Belgia, Saksa, Alankomaat, Espanja, pankkitoiminta, Eurooppa, USA, mittaus, kilpailu, hinnoittelu, mallit, menetelm{\"a}t, VAR, kilpailu",
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    language = "English",
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    series = "Bank of Finland Research Discussion Papers",
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    Juselius, M, Kim, M & Ringbom, S 2009 'Do markup dynamics reflect fundamentals or changes in conduct?' Bank of Finland Research Discussion Papers, Nro 12/2009, Bank of Finland, Helsinki.

    Do markup dynamics reflect fundamentals or changes in conduct? / Juselius, Mikael; Kim, Moshe; Ringbom, Staffan.

    Helsinki : Bank of Finland, 2009. (Bank of Finland Research Discussion Papers; Nro 12/2009).

    Tutkimustuotos: TyöpaperiKeskustelupaperiTieteellinen

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    AU - Juselius, Mikael

    AU - Kim, Moshe

    AU - Ringbom, Staffan

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    N2 - Tiivistelma: Kuvastavatko hintamarginaalit talouden perustekijoiden vai kilpailukayttaytymisen muutoksia?

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    KW - 511 Economics

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    KW - Ranska

    KW - Belgia

    KW - Saksa

    KW - Alankomaat

    KW - Espanja

    KW - pankkitoiminta

    KW - Eurooppa

    KW - USA

    KW - mittaus

    KW - kilpailu

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    KW - kilpailu

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    BT - Do markup dynamics reflect fundamentals or changes in conduct?

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    Juselius M, Kim M, Ringbom S. Do markup dynamics reflect fundamentals or changes in conduct? Helsinki: Bank of Finland. 2009. (Bank of Finland Research Discussion Papers; 12/2009).