Time or State Dependent Price Setting Rules? Evidence from Portuguese Micro Data
AbstractIn this paper we analyse the ability of time and state dependent price setting rules to explain durations of price spells or the probability of changing prices.Our results suggest that simple time dependent models cannot be seen as providing a reasonable approximation to the data and that state dependent models are required to fully characterise the price setting behaviour of Portuguese firms. Inflation, the level of economic activity and the magnitude of the last price change emerge as relevant variables a.ecting the probability of changing prices. Moreover, it is seen that the impact di.ers for negative and positive values of these covariates.
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Bibliographic InfoPaper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200508.
Date of creation: 2005
Date of revision:
Other versions of this item:
- Dias, Daniel & Robalo Marques, Carlos & Santos Silva, João M. C., 2005. "Time or state dependent price setting rules? Evidence from Portuguese micro data," Working Paper Series 0511, European Central Bank.
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- D40 - Microeconomics - - Market Structure and Pricing - - - General
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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