 Persistence of prices in the Eurozone capital cities: Evidence from the Economist Intelligence Unit City DataEconomic Modelling, 2019, vol. 76, issue C, 330-338 Abstract: Using the Economist Intelligence Unit City Data, this paper studies price differences in the Eurozone by comparing the prices of individual goods between twelve Eurozone countries. To estimate the persistence of prices, I employ a cross-sectionally augmented panel unit root test that accounts for contemporaneous as well as serial correlation. Based on the test, the estimated half-lives are 13 months for traded goods and 16 months for non-traded goods. Price differences for certain traded goods such as food or cars revert to parity much faster than prices for alcohol. To further refine the persistence estimates, I use the sequential panel selection method to determine the stationarity of individual cross-sections for each good that rejects the unit root. The distribution of stationary cross-sections between the Eurozone countries appears fairly balanced. The half-lives based only on stationary-cross-sections are reduced to 6 months for traded goods and 7 months for non-traded goods. Keywords: Law of one price; Relative prices; Half-life; Euro (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:76:y:2019:i:c:p:330-338 DOI: 10.1016/j.econmod.2018.09.005 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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