An I(2) analysis of inflation and the markup

被引:70
作者
Banerjee, A
Cockerell, L
Russell, B
机构
[1] European Univ Inst, Dept Econ, I-50016 San Domenico Di Fiesole, Italy
[2] Reserve Bank Australia, Econ Grp, Sydney, NSW 2001, Australia
[3] Univ Dundee, Dept Econ Studies, Dundee DD1 4HN, Scotland
关键词
D O I
10.1002/jae.609
中图分类号
F [经济];
学科分类号
02 ;
摘要
An I(2) analysis of Australian inflation and the markup is undertaken within an imperfect competition model. It is found that the levels of prices and costs are best characterized as integrated of order 2 and that a linear combination of the levels (which may be defined as the markup) cointegrates with price inflation. From the empirical analysis we obtain a long-run relationship where higher inflation is associated with a lower markup and vice versa. The impact in the long run of inflation on the markup is interpreted as the cost to firms of overcoming missing information when adjusting prices in an inflationary environment. Copyright (C) 2001 John Wiley & Sons, Ltd.
引用
收藏
页码:221 / 240
页数:20
相关论文
共 41 条
[1]  
[Anonymous], 1963, AUSTR EC VOLUME READ
[2]  
ATHEY S, 1998, 9823 MIT DEP EC
[3]  
Banerjee A., 1993, ADV TEXTS ECONOMETRI, DOI [DOI 10.1093/0198288107.001.0001, 10.1093/0198288107.001.0001]
[4]   INFLATION AND MARKUPS - THEORIES AND EVIDENCE FROM THE RETAIL TRADE SECTOR [J].
BENABOU, R .
EUROPEAN ECONOMIC REVIEW, 1992, 36 (2-3) :566-574
[5]  
BILS M, 1987, AM ECON REV, V77, P838
[6]   COMMON-STOCKS AS A HEDGE AGAINST INFLATION [J].
BODIE, Z .
JOURNAL OF FINANCE, 1976, 31 (02) :459-470
[7]  
Carlin W., 1990, MACROECONOMICS WAGE
[8]  
CHEN Y, 1998, 92 U DUND DEP EC STU
[9]  
COCKERELL L, 1995, 9509 RES BANK AUSTR
[10]  
COULTON B, 1994, 124 UK NAIRU GOV EC