Measuring persistence of U.S. city prices: new evidence from robust tests |
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Authors: | Syed Abul Basher Josep Lluís Carrion-i-Silvestre |
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Institution: | 1.Department of Research and Monetary Policy,Qatar Central Bank,Doha,Qatar;2.Department of Econometrics, Statistics and Spanish Economy, AQR-IREA Research Group,University of Barcelona,Barcelona,Spain |
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Abstract: | This article revisits the empirical analysis in Cecchetti et al. (Int Econ Rev 43:1081–1099, 2002) involving long-span U.S.
city prices, who estimated the persistence of U.S. price differentials to be around 9 years. After controlling for the structural
breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in
accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust
to a pairwise test of price level convergence. |
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Keywords: | |
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