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

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