An I(2) analysis of inflation and the markup is undertaken for the G7 economies and Australia. We find that the levels of prices and costs are best described as I(2) processes and that except for Japan a linear combination of the log levels of prices and costs cointegrate to the markup that is integrated of order 1. It is also shown that the markup in each case cointegrates with inflation and that higher inflation is associated with a lower markup in the long-run and vice versa.
|Number of pages||16|
|Publication status||Published - 2000|
|Event||Econometric Society 8th World Congress - Seattle, United States|
Duration: 11 Aug 2000 → 16 Aug 2000
|Conference||Econometric Society 8th World Congress|
|Period||11/08/00 → 16/08/00|
- Polynomial cointegration