Price–price deviations are highly persistent

•We consider whether direct–market prices deviations persist over time after a shock.•The persistence of production–market prices deviations after shocks is analyzed.•We consider 5 countries and 3 different computation approaches.•We adopt various econometric methods.•Persistence is found to be high.

The present paper explores the persistence of the deviations between market prices on one side and either production or direct prices on the other – namely their tendency to vanish after being hit by a shock. We consider various countries – Austria, Denmark, Italy, Norway, Japan and the US – across different time periods, econometric approaches and methods of computing direct and production prices. Results can change depending on these methods, but even the weakest results would point to price–price deviations taking 5 years to shrink by one half after a shock. The strongest results, instead, show no tendency of price–price deviations to disappear.