Linking Individual and Aggregate Price Changes
AbstractStandard macroeconomic forecasting indicators and techniques perform poorly in predicting inflation in the short-run. In contrast, the present paper shows that microeconomic price data placed in an empirical framework rooted in (S,s) pricing theory convey extra information on inflation dynamics. The latent variable model designed to capture the gap between the target and the actual price is applied to a unique, highly disaggregated panel data set of consumer prices. Fluctuations in the shape of the cross-sectional density of price deviations contribute to short-run in-sample inflation. Asymmetry in the density particularly matters.
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Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number B4-2.
Date of creation: Mar 2002
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Simulated Maximum Likelihood estimation; panel data; inflation dynamics; (S; s) pricing;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-04 (All new papers)
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- Dhyne, Emmanuel & Fuss, Catherine & Pesaran, M. Hashem & Sevestre, Patrick, 2011.
"Lumpy Price Adjustments: A Microeconometric Analysis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 29(4), pages 529-540.
- Dhyne, Emmanuel & Fuss, Catherine & Pesaran, M. Hashem & Sevestre, Patrick, 2007. "Lumpy Price Adjustments: A Microeconometric Analysis," IZA Discussion Papers 2793, Institute for the Study of Labor (IZA).
- Emmanuel Dhyne & Catherine Fuss & Hashem Pesaran & Patrick Sevestre, 2006. "Lumpy price adjustments : a microeconometric analysis," Working Paper Research 100, National Bank of Belgium.
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- Dhyne, E. & Fuss, C. & Pesaran, H. & Sevestre, P., 2007. "Lumpy Price Adjustments, A Microeconometric Analysis," Cambridge Working Papers in Economics 0719, Faculty of Economics, University of Cambridge.
- Jerzy D. Konieczny, 2006. "Discussion of: Lumpy Price Adjustments: A Microeconometric Analysis," Working Papers jk0035, Wilfrid Laurier University, Department of Economics, revised 1970.
- Emmanuel Dhyne & Jerzy Konieczny & Fabio Rumler & Patrick Sevestre, 2009. "Price rigidity in the euro area - An assessment," European Economy - Economic Papers 380, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
- Emmanuel Dhyne, 2009.
"A global assessment of the degree of price stickiness – results from the NBB business survey,"
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- Emmanuel Dhyne, 2009. "A global assessment of the degree of price stickiness - results from the NBB Business survey," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(1), pages 57-77.
- Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno".
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