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Title: Price convergence in US cities: A cointegration approach with two structural breaks
Authors: Rangkakulnuwat, Poomthan 
Morshed, A.K.M. Mahbub 
Wang, H. Holly 
Ahn, S.K. 
Keywords: Cointegration;Halflife;Price convergence;Structural breaks;US cities
Issue Date: 2012
Publisher: Scopus
University of the Thai Chamber of Commerce
Source: 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.
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.
Rights: This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
Appears in Collections:RSO: Journal Articles

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