Do markup dynamics reflect fundamentals or changes in conduct?
Moshe Kim () and
Staffan Ringbom ()
Empirical Economics, 2015, vol. 48, issue 3, 1119-1147
Intertemporal shifts in conduct, such as a transition from competitive to anti-competitive behavior, induce shifts in the firms’ equilibrium price configurations. Such shifts generate non-stationary price dynamics in addition to those which originate from exogenous fundamentals. We exploit this statistical feature to detect potential changes in conduct, as well as measure their effect on prices. Our approach requires only data on prices and fundamentals without necessitating strong assumptions regarding industry structure. Application to United States and European banking sectors indicates substantial differences between conventional credit spreads and components associated with changes in conduct. Copyright Springer-Verlag Berlin Heidelberg 2015
Keywords: Regime shifts; Conduct; Cointegrated VAR; Smooth transition regression; Fundamentals; Banking; G21; L13; L16; L40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Do markup dynamics reflect fundamentals or changes in conduct? (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:48:y:2015:i:3:p:1119-1147
Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2
Access Statistics for this article
Empirical Economics is currently edited by Robert M. Kunst, Badi H. Baltagi, Bertrand Candelon, Subal C. Kumbhakar and Michael Lechner
More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().