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Measuring the importance of the uniform nonsynchronization hypothesis

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  • Dias, Daniel
  • Robalo Marques, Carlos
  • Santos Silva, João M. C.

Abstract

In this paper we critically reappraise some measures of the importance of time-dependent price setting rules and propose an alternative way to gauge the significance of this type of price setting behaviour. The merits of the proposed measure are highlighted in an application using micro-data. Our results suggest that a large proportion of price trajectories may be compatible with simple time-dependent price setting mechanisms but the strength of this evidence very much depends on the way that is used to evaluate the importance of this type of behaviour. JEL Classification: D40, E31, L11

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0606.

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Date of creation: Apr 2006
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Handle: RePEc:ecb:ecbwps:20060606

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Keywords: perfect synchronization; Time-dependent price setting models; uniform staggering;

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References

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  1. Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 0589, European Central Bank.
  2. Fisher, Timothy C. G. & Konieczny, Jerzy D., 2000. "Synchronization of price changes by multiproduct firms: evidence from Canadian newspaper prices," Economics Letters, Elsevier, vol. 68(3), pages 271-277, September.
  3. Daude, Christian & Fratzscher, Marcel, 2008. "The pecking order of cross-border investment," Journal of International Economics, Elsevier, vol. 74(1), pages 94-119, January.
  4. Livio Stracca, 2007. "A Speed Limit Monetary Policy Rule for the Euro Area," International Finance, Wiley Blackwell, vol. 10(1), pages 21-41, 03.
  5. Dias, Daniel & Robalo Marques, Carlos & Santos Silva, João M. C., 2006. "Measuring the importance of the uniform nonsynchronization hypothesis," Working Paper Series 0606, European Central Bank.
  6. Afonso, António & Gaspar, Vítor, 2006. "Excess burden and the cost of inefficiency in public services provision," Working Paper Series 0601, European Central Bank.
  7. Messina, Julián & Vallanti, Giovanna, 2006. "Job flow dynamics and firing restrictions: evidence from Europe," Working Paper Series 0602, European Central Bank.
  8. Thorsten Koeppl & Cyril Monnet & Ted Temzelides, 2006. "A Dynamic Model of Settlement," Working Papers 1053, Queen's University, Department of Economics.
  9. Böwer, Uwe & Guillemineau, Catherine, 2006. "Determinants of business cycle synchronisation across euro area countries," Working Paper Series 0587, European Central Bank.
  10. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Forecasting ECB monetary policy: accuracy is (still) a matter of geography," Discussion Papers 2006/11, Free University Berlin, School of Business & Economics.
  11. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
  12. Beyer, Andreas & Farmer, Roger E. A., 2006. "A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models," Working Paper Series 0586, European Central Bank.
  13. Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 0571, European Central Bank.
  14. Calza, Alessandro & Zaghini, Andrea, 2006. "Non-linear dynamics in the euro area demand for M1," Working Paper Series 0592, European Central Bank.
  15. Michael Ehrmann, 2011. "Inflation Developments and Perceptions after the Euro Cash Changeover," German Economic Review, Verein für Socialpolitik, vol. 12(1), pages 33-58, 02.
  16. Boissay, Frédéric, 2006. "Credit chains and the propagation of financial distress," Working Paper Series 0573, European Central Bank.
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Citations

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Cited by:
  1. Samu Kurri, 2009. "Price Changes in Finland: Some Evidence from the Micro CPI data," Finnish Economic Papers, Finnish Economic Association, vol. 22(2), pages 47-62, Autumn.
  2. Luis J. Álvarez, 2007. "What do micro price data tell us on the validity of the New Keynesian Phillips Curve?," Banco de Espa�a Working Papers 0728, Banco de Espa�a.
  3. Gautier, E., 2008. "Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques," Working papers 211, Banque de France.
  4. J.M.C. Santos Silva & Carlos Robalo Marques & Daniel Dias, 2007. "A note on measuring the importance of the uniform nonsynchronization hypothesis," Economics Bulletin, AccessEcon, vol. 4(6), pages 1-8.
  5. Daniel Dias & Carlos Robalo Marques & J.M.C.Santos Silva, 2006. "Measuring the Importance of the Uniform Nonsynchronization Hypothesis," Working Papers w200603, Banco de Portugal, Economics and Research Department.
  6. Konstantins Benkovskis & Ludmila Fadejeva & Krista Kalnberzina, 2010. "Price Setting Behaviour in Latvia: Descriptive Evidence from CPI Microdata," Discussion Papers 2010/01, Latvijas Banka.
  7. repec:ebl:ecbull:v:4:y:2007:i:6:p:1-8 is not listed on IDEAS
  8. Kurri, Samu, 2007. "Price changes in Finland: some evidence from micro CPI data," Working Paper Series 0728, European Central Bank.

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