{"title":"印度城市价格趋同:协整方法","authors":"A. M. Morshed, Sung K. Ahn, Minsoo Lee","doi":"10.2139/ssrn.877335","DOIUrl":null,"url":null,"abstract":"PricedynamicsinIndiancitieswereexaminedusingcointegrationanalysis.Weidentifiedandcalculateda commontrendforprices in25majorcities inIndia.Impulseresponsefunctionswere obtainedtocalculatethe rates of convergence to the prices and we found that the half-life of any shock is very small for Indian cities. Althougha close to3-monthhalf-life seemstoofast,thereissomeindicationinthe literaturethat half-life can bemuchsmallerthantheconventionalratesof3‐5years.Wehavecalculatedhalf-lifeusingthepanelunitroot method,andfoundthatestimatesofhalf-lifefromcointegrationanalysisprovideafasterconvergenceratethan estimates using the panel unit root method. We also analyzed how shock can be transmitted from one city to another and found no systematic behavior of transmission from one city to another.","PeriodicalId":163698,"journal":{"name":"Institutional & Transition Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2005-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"30","resultStr":"{\"title\":\"Price Convergence Among Indian Cities: A Cointegration Approach\",\"authors\":\"A. M. Morshed, Sung K. Ahn, Minsoo Lee\",\"doi\":\"10.2139/ssrn.877335\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PricedynamicsinIndiancitieswereexaminedusingcointegrationanalysis.Weidentifiedandcalculateda commontrendforprices in25majorcities inIndia.Impulseresponsefunctionswere obtainedtocalculatethe rates of convergence to the prices and we found that the half-life of any shock is very small for Indian cities. Althougha close to3-monthhalf-life seemstoofast,thereissomeindicationinthe literaturethat half-life can bemuchsmallerthantheconventionalratesof3‐5years.Wehavecalculatedhalf-lifeusingthepanelunitroot method,andfoundthatestimatesofhalf-lifefromcointegrationanalysisprovideafasterconvergenceratethan estimates using the panel unit root method. We also analyzed how shock can be transmitted from one city to another and found no systematic behavior of transmission from one city to another.\",\"PeriodicalId\":163698,\"journal\":{\"name\":\"Institutional & Transition Economics eJournal\",\"volume\":\"7 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2005-05-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"30\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Institutional & Transition Economics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.877335\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Institutional & Transition Economics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.877335","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Price Convergence Among Indian Cities: A Cointegration Approach
PricedynamicsinIndiancitieswereexaminedusingcointegrationanalysis.Weidentifiedandcalculateda commontrendforprices in25majorcities inIndia.Impulseresponsefunctionswere obtainedtocalculatethe rates of convergence to the prices and we found that the half-life of any shock is very small for Indian cities. Althougha close to3-monthhalf-life seemstoofast,thereissomeindicationinthe literaturethat half-life can bemuchsmallerthantheconventionalratesof3‐5years.Wehavecalculatedhalf-lifeusingthepanelunitroot method,andfoundthatestimatesofhalf-lifefromcointegrationanalysisprovideafasterconvergenceratethan estimates using the panel unit root method. We also analyzed how shock can be transmitted from one city to another and found no systematic behavior of transmission from one city to another.
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