PERSISTENCE OF PRICE-COST MARGINS IN THE U.S. FOOD AND TOBACCO MANUFACTURING INDUSTRIES: A DYNAMIC SINGLE INDEX MODEL APPROACH

John Cranfield

Journal of Food Distribution Research, 2002, vol. 33, issue 2, 16

Abstract: Persistence of price-cost margins in the U.S. food and tobacco manufacturing industries is measured while accounting for price-cost margin risk. Direct measurement of persistence and of long- and short-run price-cost margin risk is accomplished by incorporating a partial-adjustment framework into the Single Index Model. Results indicate persistence of price-cost margins. Short-run margin risk is accounted for primarily by diversifiable risk. Long-run margin risk, which depends on systematic risk alone, is generally lower than the short-run measure. Factors influencing persistence and the systematic relationship between industry margins and a market index are explored.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:jlofdr:26625

DOI: 10.22004/ag.econ.26625

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