2015年9月
Noisy information, distance and law of one price dynamics across US cities
JOURNAL OF MONETARY ECONOMICS
- ,
- ,
- 巻
- 74
- 号
- 開始ページ
- 52
- 終了ページ
- 66
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1016/j.jmoneco.2015.06.003
- 出版者・発行元
- ELSEVIER SCIENCE BV
US micro price data at the city level suggests that both the volatility and the persistence of law of one price deviations are rising in the distance between US cities. A standard two-city equilibrium model with trade costs can predict the relationship between volatility and distance but not between persistence and distance. We show that if there is imperfect information about the state of nominal aggregate demand, with noisy signals that are asymmetric across cities, then distance and persistence will be positively correlated. Our main results are shown to be robust to the introduction of sticky prices and multiple cities. (C) 2015 Elsevier B.V. All rights reserved.
- リンク情報
- ID情報
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- DOI : 10.1016/j.jmoneco.2015.06.003
- ISSN : 0304-3932
- eISSN : 1873-1295
- Web of Science ID : WOS:000360515800004