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Noisy information, distance and law of one price dynamics across US cities

Author: Mario J Crucini; Mototsugu Shintani; Takayuki Tsuruga; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2012.
Series: Working paper series (National Bureau of Economic Research), no. 17815.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Using micro price data across US cities, we provide evidence that both the volatility and persistence of deviations from the law of one price (LOP) are positively correlated with the distance between cities. A standard, two-city, equilibrium model with time-varying technology under homogeneous information can predict the relationship between the volatility and distance but not between the persistence and distance.  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mario J Crucini; Mototsugu Shintani; Takayuki Tsuruga; National Bureau of Economic Research.
OCLC Number: 775504480
Notes: Title from http://www.nber.org/papers/17815 viewed February 7, 2012.
"February 2012."
Description: 1 online resource (37 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 17815.
Responsibility: Mario J. Crucini, Mototsugu Shintani, Takayuki Tsuruga.

Abstract:

Using micro price data across US cities, we provide evidence that both the volatility and persistence of deviations from the law of one price (LOP) are positively correlated with the distance between cities. A standard, two-city, equilibrium model with time-varying technology under homogeneous information can predict the relationship between the volatility and distance but not between the persistence and distance. To account for the latter fact, we augment the standard model with noisy signals about the state of nominal aggregate demand that are asymmetric across cities. We further establish that the interaction of imperfect information and sticky prices improves the fit of the model.

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