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http://bura.brunel.ac.uk/handle/2438/6305
Title: | Long-run equilibrium price targetting |
Authors: | Burke, SP Hunter, J |
Keywords: | Cointegration;Common trend;Competition;Equilibrium price adjustment;Stochastic trend;Weak exogeneity |
Issue Date: | 2011 |
Publisher: | Quantitative and Qualitative Analysis in Social Sciences |
Citation: | Quantitative and Qualitative Analysis in the Social Sciences, 5(1): 26 - 36, 2011 |
Abstract: | This article describes a characterisation of competitive market behaviour using the concepts of cointegration analysis. It requires all (n) firms to set prices to follow a single stochastic trend (equivalently the vector of n prices should relate to cointegrating rank n- 1). This implies that, in the long run, prices are driven by the shocks that impact on all companies, ruling out the possibility that the price set by any one firm is weakly exogenous for the set of cointegrating vectors. |
Description: | This is the post-print version of the Article. The official published version can be accessed from the link below - Copyright @ QASS 2011 |
URI: | www.qass.org.uk/2011/paper2.pdf http://bura.brunel.ac.uk/handle/2438/6305 |
ISSN: | 1752-8925 |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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Fulltext.pdf | 129.73 kB | Adobe PDF | View/Open |
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