Banerjee, Anindya

Cockerell, Lynne

Russell, Bill

English

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 characterised 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

University of Dundee Online Publications

A profit maximising model of disequilibrium price adjustment with missing information’,

A representation of vector autoregressive processes integrated of order 2’,

A rules based model of disequilibrium price adjustment with missing information’,

A statistical analysis of cointegration for I(2) variables’,

A structured VAR in Denmark under changing monetary regimes’,

An econometric analysis of I(2) variables’,

Asset returns and inflation’,

Australian wage and price inflation:

Co-integration and error correction: Representation, estimation, and testing’,

Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data,

Collusion and price rigidity’. Working Paper,

Common stocks as a hedge against inflation’,

Demand under conditions of oligopoly’,

Efficient tests for an autoregressive unit root’,

Estimating the inflationary effects of depreciation’,

German and American wage and price dynamics: Differences and common themes’ (with discussion),

Industrial Pricing in the United Kingdom,

Inflation and markups: theories and evidence from the retail trade sector’,

Inflation and rates of return on common stock’,

Inflation and unemployment’,

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models,

Longer-run problems of the balance of payments’, in

Macroeconomics and the Wage Bargain: A Modern Approach to Employment, Inflation and the Exchange Rate,

Modelling inflation in Australia’,

Multicointegration in stock-flow models’,

Multivariate time series: A polynomial error correction theory’,

Muticointegrated time series and a generalised error-correction model’,

On the determination of integration indices in I(2) systems’,

Polynomial cointegration: estimation and tests’,

Price theory and business behaviour’,

Stock market returns and inflation: Evidence from other countries’,

Stock returns and inflation: The role of the monetary sector’,

The ‘Fisher effect’ for risky assets: An empirical investigation’,

The cyclical behavior of marginal cost and price’,

The impact of inflation and uncertainty on the optimum price set by firms’,

Trend-stationarity in the I(2) cointegration model’,

Unemployment Macroeconomic Performance and the Labour Market,

Dundee Discussion Papers in Economics 120:An I(2) analysis of inflation and the markup

https://discovery.dundee.ac.uk/files/108955/DDPE_120.pdf

Dundee Discussion Papers in Economics 120:An I(2) analysis of inflation and the markup

Abstract

Similar works

Full text

Available Versions

University of Dundee Online Publications

University of Dundee Online Publications