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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. Michael Ehrmann & Marcel Fratzscher & Helge Berger, 2006. "Forecasting ECB Monetary Policy: Accuracy Is (Still) a Matter of Geography," IMF Working Papers 06/41, International Monetary Fund.
  2. Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 0571, European Central Bank.
  3. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
  4. Stracca, Livio, 2006. "A speed limit monetary policy rule for the euro area," Working Paper Series 0600, European Central Bank.
  5. Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 0589, European Central Bank.
  6. Koeppl, Thorsten Volker & Monnet, Cyril & Temzelides, Ted, 2006. "A dynamic model of settlement," Working Paper Series 0604, European Central Bank.
  7. Böwer, Uwe & Guillemineau, Catherine, 2006. "Determinants of business cycle synchronisation across euro area countries," Working Paper Series 0587, European Central Bank.
  8. António Afonso & Vítor Gaspar, 2006. "Excess burden and the cost of inefficiency in public services provision," Working Papers w200609, Banco de Portugal, Economics and Research Department.
  9. 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.
  10. Messina, Julián & Vallanti, Giovanna, 2006. "Job Flow Dynamics and Firing Restrictions: Evidence from Europe," IZA Discussion Papers 2045, Institute for the Study of Labor (IZA).
  11. 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.
  12. Calza, Alessandro & Zaghini, Andrea, 2006. "Non-linear dynamics in the euro area demand for M1," Working Paper Series 0592, European Central Bank.
  13. Christian Daude & Marcel Fratzscher, 2007. "The pecking order of cross-border investment," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 53-89 Bank for International Settlements.
  14. 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.
  15. Boissay, Frédéric, 2006. "Credit chains and the propagation of financial distress," Working Paper Series 0573, European Central Bank.
  16. 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.
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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. Alvarez, 2007. "What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve?," Kiel Working Papers 1330, Kiel Institute for the World Economy.
  3. Kurri, Samu, 2007. "Price changes in Finland: some evidence from micro CPI data," Working Paper Series 0728, European Central Bank.
  4. repec:ebl:ecbull:v:4:y:2007:i:6:p:1-8 is not listed on IDEAS
  5. Gautier, E., 2008. "Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques," Working papers 211, Banque de France.
  6. 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.
  7. Konstantins Benkovskis & Ludmila Fadejeva & Krista Kalnberzina, 2010. "Price Setting Behaviour in Latvia: Descriptive Evidence from CPI Microdata," Discussion Papers 2010/01, Latvijas Banka.
  8. 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.

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