Price convergence in US cities: A cointegration approach with two structural breaks

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University of the Thai Chamber of Commerce. Research Support Office
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Scopus
University of the Thai Chamber of Commerce
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2012
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Text::Journal::Journal article
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eng
Abstract
This article investigates how the price indices of major cities of the US respond to the shock from a city and from monetary policy. We find that the crisis of Bretton Woods system in 1968 and the oil crisis in 1974 should be incorporated as structural breaks in monetary policy variables and price indices. Using cointegration technique with structural break in our aggregated data, we find that the average halflife is 1.75 years, which is closer to what some of others found in disaggregated data, and that the interest rate is an effective tool for controlling cities' price in short run.
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University of the Thai Chamber of Commerce
Bibliographic Citation
Poomthan Rangkakulnuwat, A.K.M. Mahbub Morshed, H. Holly Wang, S.K. Ahn (2012) Price convergence in US cities: A cointegration approach with two structural breaks. Applied Economics Vol.44 No.14, 1849-1862.
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