Real Rigidities and the Cross-Sectional Distribution of Price Stickiness: Evidence from Micro and Macro Data Combined

Abstract

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What We can Learn About the Behaviour of Firms from the Average Monthly Frequency of Price‐Changes: An Application to the UK CPI Data

“…Carvalho et al . () estimate the mean cross‐sectional quarterly distribution from US data on the basis of a variation the ‘minimum method’. Using the Bils and Klenow () sticky prices table of frequencies, they use the continuous time estimate of the mean duration, which is different from the discrete time Bernoulli formulation.…”

“…Carvalho et al . () use this as the basis for a prior and then go on to estimate the cross‐section using Bayesian methods.…”

“…The poor performance of MD11, 67 and 570 suggests that this is not a good calibration: using it as a prior in a Bayesian estimation as in Carvalho et al . () is perhaps not a good place to start. Using the Bernoulli–Calvo distribution ensures that we have a result closer to the estimated distribution, at least for UK data.…”

“…Hence it is no surprise to find that the estimated mean is 62–90% higher than the theoretical minimum means generated at different levels of disaggregation . The theoretical minimum is not just of theoretical interest: Carvalho, Dam and Lee () take the frequency data from Bils and Klenow () and Nakamura and Steinsson () and use the minimum mean distribution as a prior in their Bayesian estimation of the cross sectional distribution.…”

Estudo sobre rigidez de preços no Brasil: uma abordagem setorial com informações agregadas

“…As implicações macroeconômicas da heterogeneidade setorial na fixação de preços foram contempladas, entre outros, por CARVALHO (2006) IMBS et al (2011), FLAMINI (2014, CARVALHO et al (2015).…”