{"title":"An I(2)Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports","authors":"Heino Bohn Nielsen","doi":"10.2139/ssrn.1791705","DOIUrl":null,"url":null,"abstract":"The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend allowing the analysis of a transformed data set to take place within the cointegrated I(1)-framework. Two long-run relations are found and identified as a demand-relation for Danish exports and a polynomially cointegrated price relation. In the price formation a large weight to foreign prices and an effect from the rate of inflation to the steady-state markup are found. The latter effect is interpreted as an element of caution in the price setting in an inflationary environment. To characterize the short-run behavior of the Danish export-sector a structural representation of the model is developed. Copyright 2002 by Blackwell Publishing Ltd","PeriodicalId":212630,"journal":{"name":"Wiley-Blackwell: Oxford Bulletin of Economics & Statistics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2001-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"40","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Oxford Bulletin of Economics & Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1791705","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 40
Abstract
The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend allowing the analysis of a transformed data set to take place within the cointegrated I(1)-framework. Two long-run relations are found and identified as a demand-relation for Danish exports and a polynomially cointegrated price relation. In the price formation a large weight to foreign prices and an effect from the rate of inflation to the steady-state markup are found. The latter effect is interpreted as an element of caution in the price setting in an inflationary environment. To characterize the short-run behavior of the Danish export-sector a structural representation of the model is developed. Copyright 2002 by Blackwell Publishing Ltd
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