Price-price Deviations are Highly Persistent

Authors

• Vaona
• A.

Publication Date

DOI

10.1016/j.strueco.2015.04.003

JEL Classification

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The present paper explores the persistence of the deviations between market prices on one side and either production or direct prices on the other - namely their tendency to vanish after being hit by a shock. We consider various countries - Austria, Denmark, Italy, Norway, Japan and the US - across different time periods, econometric approaches and methods of computing direct and production prices. Results can change depending on these methods, but even the weakest results would point to price-price deviations taking 5 years to shrink by one half after a shock. The strongest results, instead, show no tendency of price-price deviations to disappear.