Arbeitspapier

Do markup dynamics reflect fundamentals or changes in conduct?

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.

ISBN
978-952-462-507-4
Sprache
Englisch

Erschienen in
Series: Bank of Finland Research Discussion Papers ; No. 12/2009

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Financial Institutions and Services: General
Oligopoly and Other Imperfect Markets
Industrial Organization and Macroeconomics: Industrial Structure and Structural Change; Industrial Price Indices
Thema
markups
cointegration
VAR
macroeconomic fundamentals
competition
banking

Ereignis
Geistige Schöpfung
(wer)
Juselius, Mikael
Kim, Moshe
Ringbom, Staffan
Ereignis
Veröffentlichung
(wer)
Bank of Finland
(wo)
Helsinki
(wann)
2009

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Juselius, Mikael
  • Kim, Moshe
  • Ringbom, Staffan
  • Bank of Finland

Entstanden

  • 2009

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