Dixon, Huw David, Tian, Kun (2017) What We can Learn About the Behaviour of Firms from the Average Monthly Frequency of Price-Changes: An Application to the UK CPI Data. Oxford Bulletin of Economics and Statistics, 79 (6). pp. 907-932. ISSN 0305-9049. E-ISSN 1468-0084. (doi:10.1111/obes.12173) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:97911)
The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication) | |
Official URL: https://dx.doi.org/10.1111/obes.12173 |
Abstract
The monthly frequency of price-changes is a prominent feature of many studies of the CPI micro-data. In this paper, we see what the frequency implies for the behaviour of price-setters in terms of the cross-sectional distribution average of price-spell durations across firms. We derive a lower bound for the mean duration of price-spells averaged across firms. We use the UK CPI data at the aggregate and sectoral level and find that the actual mean is about twice the theoretical minimum consistent with the observed frequency. We construct hypothetical Bernoulli–Calvo distributions from the frequency data which we find can result in similar impulse responses to the estimated hazards when used in the Smets–Wouters (2003) model.
Item Type: | Article |
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DOI/Identification number: | 10.1111/obes.12173 |
Subjects: | H Social Sciences |
Divisions: | Divisions > Kent Business School - Division > Department of Marketing, Entrepreneurship and International Business |
Depositing User: | Kun Tian |
Date Deposited: | 10 Nov 2022 10:44 UTC |
Last Modified: | 11 Nov 2022 11:09 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/97911 (The current URI for this page, for reference purposes) |
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