PERSISTENCE OF PRICE-COST MARGINS IN THE U.S. FOOD AND TOBACCO MANUFACTURING INDUSTRIES: A DYNAMIC SINGLE INDEX MODEL APPROACH

Persistence of price-cost margins in the U.S. food and tobacco manufacturing industries is measured while accounting for price-cost margin risk. Direct measurement of persistence and of long- and short-run price-cost margin risk is accomplished by incorporating a partial-adjustment framework into the Single Index Model. Results indicate persistence of price-cost margins. Short-run margin risk is accounted for primarily by diversifiable risk. Long-run margin risk, which depends on systematic risk alone, is generally lower than the short-run measure. Factors influencing persistence and the systematic relationship between industry margins and a market index are explored.


Issue Date:
2002-07
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/26625
Published in:
Journal of Food Distribution Research, Volume 33, Number 2
Page range:
34-49
Total Pages:
16




 Record created 2017-04-01, last modified 2017-08-24

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