The frequency and size of price changes: evidence from non-parametric estimations
AbstractThe majority of price setting models predict a negative correlation between the frequency and size of price changes. Using a unique micro-level price data from Slovakia, we find that a negative correlation between frequency and size of price changes holds only for more rigid prices. On the other hand, less rigid prices such as gasoline prices exhibit positive correlation in line with Rotemberg's pricing model.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Macroeconomics and Finance in Emerging Market Economies.
Volume (Year): 4 (2011)
Issue (Month): 2 (February)
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