New Facts on Consumer Price Rigidity in the Euro Area

Nowcasting Consumer Price Inflation Using High-Frequency Scanner Data: Evidence from Germany

“…Except for package holidays, our dataset does not comprise high-frequency prices for services which make up about 50% of the German consumer basket. However, service prices are either determined by administrative measures, such as insurances or tuition fees, or are rather sticky (see Gautier, Conflitti, Faber, Fabo, Fadejeva, Jouvanceau, Menz, Messner, Petroulas, Roldan-Blanco, Rumler, Santoro, Wieland, and Zimmer, 2023). Therefore, we do not expect the lack of high-frequency prices for services to impair our nowcasting results too strongly.…”

Drivers of Large Recessions and Monetary Policy Responses

“…The choice of parameters is motivated by characteristics that may affect more directly the transmission of these shocks. Gautier et al (2022), using micro-data, find that while differences in price rigidity for most EA countries are small, there are also cases of significantly lower price rigidity. The average quarterly frequency of price changes found by these authors is 29.5 percent, which translates into a Calvo parameter of σ p = 0.71, equivalent to changing prices almost every 3.5 quarters on average.…”

“…This estimate, although obtained using a very different empirical approach, is close to the DSGE-based point estimate presented in this paper (σ p = 0.75, equivalent to changing prices every 4 quarters on average). In the countryspecific estimates by Gautier et al (2022), the minimum probability of changing prices corresponds to resetting them every two quarters (σ p = 0.5). Therefore, Figure 3(a) shows a comparison of impulse responses to a capital utilization shock and a monetary policy shock between the baseline case (in line with aggregate EA estimates presented in Table 2) and an alternative specification with σ p = 0.5.…”

E-Commerce and Price Setting: Evidence from Europe

“…This section 25 quantifies the degree of price rigidity of online versus offline prices in Germany. As described in Section 1.2, this analysis is based on German CPI microdata recently made available for research purposes and has been analysed in terms of relative price trends by Adam et al (2022) and price setting in the euro area by Gautier et al (2022). The frequency of price changes in Germany appears to be higher for online than offline products, also when controlling for the share of underlying sales.…”

“…To aggregate statistics by product category, we apply the German CPI weights as of 2015. Finally, like Gautier et al (2022), we distinguish between price changes with and without sales and promotions. For this purpose, we use an indicator variable on sales in the database provided by the statistical office.…”