Do markup dynamics reflect fundamentals or changes in conduct?

Mikael Juselius, Moshe Kim, Staffan Ringbom

Research output: Contribution to journalArticlepeer-review


Intertemporal shifts in conduct, such as a transition from competitive to anti-competitive behavior, induce shifts in the firms’ equilibrium price configurations. Such shifts generate non-stationary price dynamics in addition to those which originate from exogenous fundamentals. We exploit this statistical feature to detect potential changes in conduct, as well as measure their effect on prices. Our approach requires only data on prices and fundamentals without necessitating strong assumptions regarding industry structure. Application to United States and European banking sectors indicates substantial differences between conventional credit spreads and components associated with changes in conduct.

Original languageEnglish
Pages (from-to)1119-1147
Number of pages29
JournalEmpirical Economics
Issue number3
StatePublished - 1 May 2015

Bibliographical note

Publisher Copyright:
© 2014, Springer-Verlag Berlin Heidelberg.


  • Banking
  • Cointegrated VAR
  • Conduct
  • Fundamentals
  • Regime shifts
  • Smooth transition regression

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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