Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market

Goldberg, Pinelopi Koujianou; Verboven, Frank

doi:10.3386/w8402

Cited by 73 publications

(61 citation statements)

References 31 publications

(26 reference statements)

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“…For this purpose, Goldberg and Verboven [18] proposed to use the unit root test with panel data. The basic convergence equation can be expressed as: Under the null hypothesis of non-convergence, the parameter  equals zero as the shock to…”

Section: Methodsmentioning

confidence: 99%

Government Bond Market Integration of New EU MemberStates

Chaloupka¹

2013

IJTEF

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Abstract-In this paper we examine the level and dynamic of integration of the government bond markets of the new EU member states with the German market. We analyze interest rates on 10-year government bonds during the period 2001-2011 using the same methodology as the European Central Bank, i.e. price-based and news-based indicators. We found out that during times of economic stability the markets converged to Germany, whereas during times of economic slowdown the markets diverged. However, there exist substantial differences among the new EU member states. Basically, Hungarian and Romanian level of convergence was the lowest, whereas the Czech level of convergence was the highest.Index Terms-Central and Eastern Europe, EU, financial crisis, financial integration, government bonds.

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Section: Methodsmentioning

confidence: 99%

Government Bond Market Integration of New EU MemberStates

Chaloupka¹

2013

IJTEF

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“…Here several empirical tests of price convergence (what we refer to as stationarity) have been carried out, particularly in the international trade area (Frankel and Rose, 1996), but also with reference to consumer price indices across US cities (Cecchetti et al, 2002,) and car prices across European countries (Goldberg and Verboven, 2005).…”

Section: Stationaritymentioning

confidence: 99%

Pricing behaviour under competition in the UK electricity supply industry

Giulietti

Otero

Waterson

2009

Oxford Economic Papers

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This paper investigates the evolution of electricity prices for domestic customers in the UK following the introduction of competition. The empirical analysis is based on a panel data set containing detailed information about electricity supply prices over the period 1999 to 2006. The analysis aims to test theoretical hypotheses about the nature of consumers' switching and search costs. The econometric analysis of persistence and price dispersion provides only limited support for the view that the market is becoming more competitive and also indicates that there remain significant potential benefits to consumers from searching alternative suppliers.

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“…Generally, researchers use the same model for panel unit root tests as the model to estimate autoregressive equations and then calculate the halflife of the shocks by employing an approximation technique 2 . However, this calculation of halflife is appropriate only for first order autoregressive processes (Goldberg and Verboven, 2004, footnote 11). For higher order autoregressive processes, this formula would yield biased estimates.…”

Section: Introductionmentioning

confidence: 99%

Price convergence among Indian cities: A cointegration approach

Morshed

Ahn

Lee

2006

Journal of Asian Economics

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Price dynamics in Indian cities were examined using cointegration analysis. We identified and calculated a common trend for prices in 25 major cities in India. Impulse response functions were obtained to calculate the rates of convergence to the prices and we found that the half-life of any shock is very small for Indian cities. Although a close to three-month half-life seems too fast, there is some indication in the literature that half-life can be much smaller than the conventional rates of 3 to 5 years. We have calculated half-life using the panel unit root method, and found that estimates of half-life from cointegration analysis provide a faster convergence rate than estimates using the panel unit root method. We also analyzed how shock can be transmitted from one city to another and found no systematic behavior of transmission from one city to another. JEL Classification Code: F15, E31, C23.

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Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market

Cited by 73 publications

References 31 publications

Government Bond Market Integration of New EU MemberStates

Government Bond Market Integration of New EU MemberStates

Pricing behaviour under competition in the UK electricity supply industry

Price convergence among Indian cities: A cointegration approach

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