Modelling cyclical variation in the cost pass-through: evidence from regime-dependent ARDL model

Karolina Konopczak ()
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Karolina Konopczak: Ministry of Finance in Poland, Postal: ul. Świętokrzyska 12, 00-916 Warszawa, https://www.gov.pl/web/finanse

No 36, MF Working Papers from Ministry of Finance in Poland

Abstract: In this study we develop a regime-dependent ARDL model in order to investigate how labour costs feed through into prices conditional on the business cycle position. The estimation results allow us to make inference on the cyclical behaviour of markups. The proposed methodology is applied to Polish industrial sectors. The obtained estimates point to procyclicality as the prevailing pattern of markup adjustment. Thus, overall markups in Polish industry seem to have a mitigating effect on business cycle fluctuations. The degree of procyclicality seems, however, to be positively correlated with the industry's degree of competition.

Keywords: Non-linear cointegration; Regime-dependence; Cost pass-through; Markup cyclicality (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2019-05-29
New Economics Papers: this item is included in nep-hme and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:ris:mfplwp:0036

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