Linking Individual and Aggregate Price Changes

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Linking Individual and Aggregate Price Changes

Author Info

Ratfai, A.

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Attila Rátfai

Abstract

Standard macroeconomic forecasting indicators and techniques tend to perform poorly in predicting inflation in the short-run. The present paper shows that microeconomic price data placed in an empirical model rooted in (S,s) pricing theory convey extra information on inflation dynamics. The empirical model designed to capture the deviation between target and actual price, potentially applicable in other contexts where lumpy adjustment is prevalent, 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 are found to contribute to short-run inflation in the sample. Asymmetry in the density particularly matters. Idiosyncratic pricing shocks appear to impact on the size rather than the direction of inflation fluctuations.

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Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 0035.

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Date of creation: 01 Jan 2000
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Handle: RePEc:stn:sotoec:0035

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Paper
- Attila Rátfai, 2002. "Linking Individual and Aggregate Price Changes," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-2, International Conferences on Panel Data. [Downloadable!]

Cited by:
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Emmanuel Dhyne & Catherine Fuss & Hashem Pesaran & Patrick Sevestre, 2006. "Lumpy price adjustments : a microeconometric analysis," Research series 200610-12, National Bank of Belgium. [Downloadable!]
Other versions:
- Emmanuel Dhyne & Catherine Fuss & M. Hashem Pesaran & Patrick Sevestre, 2007. "Lumpy Price Adjustments: A Microeconometric Analysis," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
- Emmanuel Dhyne & Catherine Fuss & M. Hashem Pesaran & Patrick Sevestre, 2007. "Lumpy Price Adjustments: A Microeconometric Analysis," IZA Discussion Papers 2793, Institute for the Study of Labor (IZA). [Downloadable!]
- 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. [Downloadable!]
- Dhyne, E. & Fuss, C. & Pesaran, H. & Sevestre, P., 2007. "Lumpy Price Adjustments: A Microeconometric Analysis," Documents de Travail 185, Banque de France. [Downloadable!]
Jerzy D. Konieczny, 2006. "Discussion of: Lumpy Price Adjustments: A Microeconometric Analysis," Working Papers jk0035, Wilfrid Laurier University, Department of Economics, revised 1970. [Downloadable!]
Ian Babetskii & Fabrizio Coricelli & Roman Horváth, 2007. "Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic," Working Papers IES 2007/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2007. [Downloadable!]
Other versions:
- Ian Babetskii & Fabrizio Coricelli & Roman Horvath, 2007. "Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic," Working Papers 2007/1, Czech National Bank, Research Department. [Downloadable!]
Fougère, Denis & Gautier, Erwan & Le Bihan, Hervé, 2009. "Restaurant Prices and the Minimum Wage," IZA Discussion Papers 4070, Institute for the Study of Labor (IZA). [Downloadable!]
Other versions:
- Fougère, Denis & Gautier, Erwan & Le Bihan, Hervé, 2008. "Restaurant Prices and the Minimum Wage," CEPR Discussion Papers 6892, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Fougère, D. & Gautier, E. & Le Bihan, H., 2008. "Restaurant Prices and the Minimum Wage," Documents de Travail 216, Banque de France. [Downloadable!]
- Fougere, Denis & Gautier, Erwan & Le Bihan, Herve, 2008. "Restaurant Prices And The Minimum Wage," Working Papers 44084, American Association of Wine Economists. [Downloadable!]
Emmanuel Dhyne, 2009. "A global assessment of the degree of price stickiness – results from the NBB business survey," Research series 200907-04, National Bank of Belgium. [Downloadable!]
Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
Gautier, E., 2008. "Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques," Documents de Travail 211, Banque de France. [Downloadable!]
Babecký, Jan & Coricelli, Fabrizio & Horváth, Roman, 2009. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," CEPR Discussion Papers 7268, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Jan Babecky & Fabrizio Coricelli & Roman Horvath, 2008. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," CERGE-EI Working Papers wp353, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
- Jan Babecký & Fabrizio Coricelli & Roman Horváth, 2009. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(2), pages 102-127, June. [Downloadable!]
Michal Franta & Branislav Saxa & Katerina Smidkova, 2007. "Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?," Working Papers 2007/10, Czech National Bank, Research Department. [Downloadable!]

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