Law of one price deviations: is there any pattern? / Lei do preço único e seus desvios: existe algum padrão?
AUTOR(ES)
Bruno Westin Prado Soares Leal
DATA DE PUBLICAÇÃO
2009
RESUMO
The main goal of this essay is to identify patterns in deviation from the law of one price. Using disaggregated data from Brazil and USA for the period 1998-2008, we applied two different methodologies: i) principal component analysis and ii) panel group mean Fully Modified OLS estimator proposed by Pedroni (2000). The principal component analysis facilitates the identification of patterns in the variation of a large amount of data, while the group mean FMOLS estimates the long run relationship between prices of the same good, quoted in the same currency, charged in separated markets. The results indicate that the exchange rate is the main responsible for deviations from the law of one price. Moreover, the results suggest the existence of a weak relationship between the prices of the same good, quoted in Reais, but sold in the Brazilian and American markets.
ASSUNTO(S)
preço (economia) exchange rate prices taxa de câmbio
