Biblioteca de la Universidad Complutense de Madrid

Convergence and Cointegration


García Hiernaux, Alfredo y Guerrero, David (2011) Convergence and Cointegration. [ Documentos de trabajo del Instituto Complutense de Análisis Económico; nº 22, 2011, ] (No publicado)

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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.

Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL: C22, C32, N70, F15

Palabras clave:Price convergence, Cointegration, Law of one price.
Materias:Ciencias Sociales > Economía > Macroeconomía
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico
Código ID:12874

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Última Modificación:06 Feb 2014 09:35

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