Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212133 
Year of Publication: 
2009
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 12/2009
Publisher: 
Bank of Finland, Helsinki
Abstract: 
Persistent shifts in equilibria are likely to arise in oligopolistic markets and may be detrimental to the measurement of conduct, related markups and intensity of competition. We develop a cointegrated VAR (vector autoregression) based approach to detect long-run changes in conduct when data are difference stationary. Importantly, we separate the components in markups which are exclusively related to long-run changes in conduct from those explained solely by fundamentals. Our approach does not require estimation of markups and conduct directly, thereby avoiding complex problems in existing methodologies related to multiple and changing equilibria. Results from applying the model to US and five major European banking sectors indicate substantially different behavior of conventional raw markups and conduct-induced markups.
Subjects: 
markups
cointegration
VAR
macroeconomic fundamentals
competition
banking
JEL: 
C32
C51
G20
L13
L16
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-507-4
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.