Noisy Information, Distance and Law of One Price Dynamics across US Cities
Noisy Information, Distance and Law of One Price Dynamics across US Cities
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美国城市的噪音信息、距离和一价动态定律
DOI：
10.1016/j.jmoneco.2015.06.003
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发表时间：
2015
影响因子：
4.1
通讯作者：
Mototsugu Shintani and Takayuki Tsuruga
中科院分区：
文献类型：
--
作者：
Crucini;Mario J.;Mototsugu Shintani and Takayuki Tsuruga
美国城市层面的微观价格数据表明，随着美国城市之间的距离增加，价格波动性和价格偏离定律的持续性都在上升。一个标准的两城市均衡模型可以预测波动性和距离之间的关系，但不能预测持久性和距离。我们表明，如果有不完美的信息状态的名义总需求，噪声信号是不对称的城市，那么距离和持久性将呈正相关。我们的主要结果被证明是强大的粘性价格和多个城市的引入。
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.