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| Glauben, Thomas; Loy, Jens-Peter; Meyer, Jochen. |
| In this paper the impact of the introduction of the Euro on the vertical price transmission in German food markets is analyzed. It is hypothesized that following the introduction of the Euro the presence of money illusion might have lead to higher real prices, and if so it is likely accompanied by higher margins between respective wholesale and retail prices. While other studies have mainly focused on the behavior of average prices, here reactions at the individual store level are investigated. For cucumber and carrots the vertical price relationships between retail and wholesale prices are estimated by employing an error correction approach, which is enhanced to test for structural breaks with a flexible time frame using a F-max approach. The results... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Financial Economics; Industrial Organization. |
| Ano: 2005 |
URL: http://purl.umn.edu/24634 |
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| Meyer, Jochen. |
| Applied econometric analyses of market integration based on price data alone have been criticised, because they neglect the role of transaction costs. To meet this objection threshold vector error correction models are used. Threshold models can account for the effects of transaction costs in price transmission without directly relying upon information about these costs, which are often unavailable. Results from threshold models that are based on two thresholds provide results that are economically more intuitive than those obtained from one threshold models. However there is no adequate econometric test for threshold significance in a two-threshold model available so far; such tests are only available for the one threshold model. In this paper a... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Industrial Organization. |
| Ano: 2003 |
URL: http://purl.umn.edu/25869 |
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| von Cramon-Taubadel, Stephan; Loy, Jens-Peter; Meyer, Jochen. |
| The impact of cross sectional aggregation over individual retail stores on the estimation and testing of vertical price transmission is investigated using a unique data set of individual retail prices. Systematic differences between the results of estimations using aggregated data on the one hand, and disaggregated data on the other, are discussed theoretically and confirmed empirically. The results suggest that results based on aggregated data generally cannot be used to draw conclusions about price transmission behaviour at the level of the individual data that underlies aggregates. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2003 |
URL: http://purl.umn.edu/21987 |
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| Glauben, Thomas; Loy, Jens-Peter; Meyer, Jochen. |
| In this paper the impact of the introduction of the Euro on the vertical price transmission in German food markets is analyzed. It is hypothesized that the presence of money illusion might have lead to higher real prices as a result of the Euro, and if so it must be accompanied with a higher margin between the respective wholesale and retail price. While generally studies focus on the behavior of average prices, in this study the reactions of individual retailers are investigated. For lettuce and chicken the vertical price relationships between retail and wholesale prices are estimated by an error correction approach, which is extended to test for structural breaks with a flexible time frame. The results indicate no impact of the Euro for most of the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20104 |
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