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Measuring the Importance of the Uniform Nonsynchronization Hypothesis

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  • Daniel Dias
  • Carlos Robalo Marques
  • J.M.C.Santos Silva

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.

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File URL: http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200603.pdf
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Bibliographic Info

Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200603.

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Date of creation: 2006
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Handle: RePEc:ptu:wpaper:w200603

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References

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  1. 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.
  2. Messina, Julián & Vallanti, Giovanna, 2006. "Job flow dynamics and firing restrictions: evidence from Europe," Working Paper Series 0602, European Central Bank.
  3. Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 0571, European Central Bank.
  4. 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.
  5. Boissay, Frédéric, 2006. "Credit chains and the propagation of financial distress," Working Paper Series 0573, 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. 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.
  8. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  9. Calza, Alessandro & Zaghini, Andrea, 2006. "Non-linear dynamics in the euro area demand for M1," Working Paper Series 0592, European Central Bank.
  10. 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.
  11. Daude, Christian & Fratzscher, Marcel, 2006. "The pecking order of cross-border investment," Working Paper Series 0590, European Central Bank.
  12. Koeppl, Thorsten Volker & Monnet, Cyril & Temzelides, Ted, 2006. "A dynamic model of settlement," Working Paper Series 0604, European Central Bank.
  13. Livio Stracca, 2007. "A Speed Limit Monetary Policy Rule for the Euro Area," International Finance, Wiley Blackwell, vol. 10(1), pages 21-41, 03.
  14. Böwer, Uwe & Guillemineau, Catherine, 2006. "Determinants of business cycle synchronisation across euro area countries," Working Paper Series 0587, European Central Bank.
  15. 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.
  16. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
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Citations

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Cited by:
  1. Alvarez González, Luis Julián, 2008. "What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve?," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(19), pages 1-36.
  2. 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.
  3. Konstantins Benkovskis & Ludmila Fadejeva & Krista Kalnberzina, 2010. "Price Setting Behaviour in Latvia: Descriptive Evidence from CPI Microdata," Discussion Papers 2010/01, Latvijas Banka.
  4. Erwan Gautier, 2009. "Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques," Revue d'économie politique, Dalloz, vol. 0(3), pages 323-372.
  5. repec:ebl:ecbull:v:4:y:2007:i:6:p:1-8 is not listed on IDEAS
  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. 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.
  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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