García Hiernaux, Alfredo and Guerrero, David (2011) Convergence and Cointegration. [Working Paper or Technical Report] (Unpublished)
Available under License Creative Commons Attribution Non-commercial.
Official URL: http://eprints.ucm.es/12874/
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.
|Item Type:||Working Paper or Technical Report|
|Additional Information:||JEL: C22, C32, N70, F15|
|Uncontrolled Keywords:||Price convergence, Cointegration, Law of one price.|
|Subjects:||Social sciences > Economics > Macroeconomics|
|Series Name:||Documentos de trabajo del Instituto Complutense de Análisis Económico|
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|Deposited On:||16 Jun 2011 13:36|
|Last Modified:||01 Dec 2011 11:07|
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