An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports
在协整向量自回归框架下分析丹麦制造业出口部门的长期和短期结构，发现两个长期关系：出口需求关系和多项式协整价格关系，并揭示了价格形成中外国价格和通胀率的影响。
The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend allowing the analysis of a transformed data set to take place within the cointegrated I(1)-framework. Two long-run relations are found and identified as a demand-relation for Danish exports and a polynomially cointegrated price relation. In the price formation a large weight to foreign prices and an effect from the rate of inflation to the steady-state markup are found. The latter effect is interpreted as an element of caution in the price setting in an inflationary environment. To characterize the short-run behavior of the Danish export-sector a structural representation of the model is developed. Copyright 2002 by Blackwell Publishing Ltd