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An I(2)Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports

Heino Bohn Nielsen

出版	SSRN, 2003
URL	http://books.google.com.hk/books?id=pSPczwEACAAJ&hl=&source=gbs_api

註釋

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 behaviour of the Danish export-sector a structural representation of the model is developed.