EX-POST EVALUATION OF MEAN-VARIANCE CARTEL FILTERS

Q4 Economics, Econometrics and Finance

Revista de Economia Contemporanea Pub Date : 2022-01-01 DOI:10.1590/198055272622

Matheus Humberto Migliari Ramalho, E. Ribeiro

引用次数: 1

Abstract

ABSTRACT This study provides an ex-post evaluation of selected filters to find cartels. We evaluate whether filters incurred in type I errors, i.e., failing to recognize the presence of a cartel. We use seven cartel cases in the retail fuel sector in Brazil, for which detailed local price and gross retail margins are available. Cartel cases provided 14 fuel-location events. The evaluated methods include GARCH-based and structural break methods from the international literature and three filters associated with Brazilian antitrust and regulation authorities (ANP, SBDC, and local correlation). All methods are based on an analytical framework which considers cartels as periods of higher average prices (margins) and lower price (margin) variance. Our results indicate that our filters failed to correctly signal most fuel-location cartel events, even using endogenous model-based price changes dates. The problems filters show of detecting actual cartels may be due to difficulties dating cartels or the possibly inappropriate use of price mean-variance markers to evaluate cartel behavior.

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均值-方差联合过滤器的事后评价

摘要本研究对所选过滤器进行事后评价，以发现卡特尔。我们评估过滤器是否会导致I型错误，即未能识别卡特尔的存在。我们以巴西零售燃料行业的7个卡特尔案例为例，提供了详细的当地价格和零售毛利率。贩毒集团案件提供了14个燃料定位事件。评估的方法包括基于garch的方法和来自国际文献的结构断裂方法，以及与巴西反垄断和监管当局相关的三种过滤器(ANP, SBDC和当地相关性)。所有方法都基于一个分析框架，该框架将卡特尔视为平均价格(利润率)较高和价格(利润率)差异较低的时期。我们的结果表明，即使使用基于内生模型的价格变化日期，我们的过滤器也不能正确地指示大多数燃料位置卡特尔事件。过滤器在检测实际卡特尔方面显示出的问题可能是由于难以确定卡特尔的时间，或者可能不恰当地使用价格均值方差标记来评估卡特尔行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Revista de Economia Contemporanea Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.50

自引率

0.00%

发文量

审稿时长

22 weeks

期刊介绍： Revista de Economia Contemporânea to publish original contributions in Economic Theory, Applied Economy, Economic History, History of Economic Thought, Economic Methodology and other pertinent economic matters. Abstract: Brief abstract - The Revista de Economia Contemporânea (REC) began publication in the second half of 1997 in the Economy Institute of the Federal University of Rio de Janeiro. Its articles strive to contribute to the academic debate among the various areas of interest in economics. On account of its self-criticism and debating tradition, the magazine wishes to be plural and open to dialogue with the present-day different theoretical tendencies in the expanding doctrine of economics.