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This paper investigates the existence of convergence clubs in the cross-country price mechanism for 96 individual goods retail price levels across 40 countries available semi-annually for 1990-2010, using a nonlinear factor model and threshold regression tools. To our knowledge, this is the...
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Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … effect estimation. Moreover, using a direct decomposition method, two conditions governing the strength of the border effect …
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solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an … market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are …
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