Do markup dynamics reflect fundamentals or changes in conduct?

Mikael Juselius, Moshe Kim, Staffan Ringbom

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

Intertemporal shifts in conduct, such as a transition from competitive to anti-competitive behavior, induce shifts in the firms’ equilibrium price configurations. Such shifts generate non-stationary price dynamics in addition to those which originate from exogenous fundamentals. We exploit this statistical feature to detect potential changes in conduct, as well as measure their effect on prices. Our approach requires only data on prices and fundamentals without necessitating strong assumptions regarding industry structure. Application to United States and European banking sectors indicates substantial differences between conventional credit spreads and components associated with changes in conduct.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftEmpirical Economics
Antal sidor29
ISSN0377-7332
DOI
StatusPublicerad - 05.06.2014
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi
  • KOTA2014

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