How Frequently Do Consumer Prices Change in Austria? Evidence from Micro CPI Data

Baumgartner, Josef; Glatzer, Ernst; Rumler, Fabio; Stiglbauer, Alfred

doi:10.2139/ssrn.796768

Cited by 32 publications

(7 citation statements)

References 22 publications

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“…In other words, not controlling for the effect of inflation introduces a downward bias on the duration coefficient. This might help explain the puzzling negative time dependence found in several papers in the literature (e.g., Baumgartner et al, 2005, Fougere et al, 2005.…”

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confidence: 81%

Sticky Prices and Moderate Inflation

Hofstetter

2008

SSRN Journal

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confidence: 81%

Sticky Prices and Moderate Inflation

Hofstetter

2008

SSRN Journal

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“…, i is the good-speci…c degree of price stickiness in the sense of Calvo (1983) and the parameter, = 1 (1 + ) 1 = 1 + (1 + ) 1 , captures the asymmetric transmission of productivity to the relative price of good i, across countries due 3 A common stochastic trend z t among two countries can be speci…c to the sector i, z it = z it 1 + " izt , without changing the substance of our results. Also, for simplicity, we assume that 2 " and 2 " are common across i.…”

Section: The Modelmentioning

confidence: 99%

“…To be precise, the productivity (in logs) for production of good i at time t, at home a it , and in the foreign country, a it , are given by: ) are idiosyncratic shocks to the production of each good in each country. 3 These labor productivity shocks are the real shocks in the model. Finally, …rms in each country are required to pay an iceberg transportation cost to send good across the border.…”

Section: The Modelmentioning

confidence: 99%

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Do Sticky Prices Increase Real Exchange Rate Volatility at the Sector Level?

Crucini

Shintani

Tsuruga

2010

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We introduce the real exchange rate volatility curve as a useful device to understand the role of price stickiness in accounting for deviations from the Law of One Price at the sector level. In the presence of both nominal and real shocks, the theory predicts that the real exchange rate volatility curve is a U-shaped function of the degree of price stickiness. Using sector-level European real exchange rate data and frequency of price changes, we estimate the volatility curve. The results are consistent with the predominance of real effects over nominal effects. Nonparametric analysis suggests the curve is convex and negatively sloped over the majority of its range. Good-by-good variance decompositions show that the relative contribution of nominal shocks is smaller at the sector level than what previous studies have found at the aggregate level. We conjecture that this is due to significant averaging out of good-specific real microeconomic shocks in the process of aggregation.

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“…This analysis is based on the approach described inBaumgartner et al (2005) for investigating the frequency of price changes.…”

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confidence: 99%