Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/212133 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 12/2009
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
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.
Schlagwörter: 
markups
cointegration
VAR
macroeconomic fundamentals
competition
banking
JEL: 
C32
C51
G20
L13
L16
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-462-507-4
Dokumentart: 
Working Paper

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