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Measuring the Importance of the Uniform Nonsynchronization Hypothesis

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

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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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
Date of revision:
Handle: RePEc:ptu:wpaper:w200603
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  1. Koeppl, Thorsten Volker & Monnet, Cyril & Temzelides, Ted, 2006. "A dynamic model of settlement," Working Paper Series 0604, European Central Bank.
  2. 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.
  3. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  4. 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.
  5. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Forecasting ECB monetary policy: accuracy is (still) a matter of geography," Working Paper Series 0578, European Central Bank.
  6. Philippe Michel & Leopold von Thadden & Jean-Piere Vidal, 2005. "Debt stabilizing fiscal rules," Computing in Economics and Finance 2005 349, Society for Computational Economics.
  7. Böwer, Uwe & Guillemineau, Catherine, 2006. "Determinants of business cycle synchronisation across euro area countries," Working Paper Series 0587, European Central Bank.
  8. 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.
  9. Messina, Julián & Vallanti, Giovanna, 2006. "Job flow dynamics and firing restrictions: evidence from Europe," Working Paper Series 0602, European Central Bank.
  10. 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.
  11. Livio Stracca, 2007. "A Speed Limit Monetary Policy Rule for the Euro Area," International Finance, Wiley Blackwell, vol. 10(1), pages 21-41, 03.
  12. Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 0571, European Central Bank.
  13. 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.
  14. 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.
  15. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
  16. Boissay, Frédéric, 2006. "Credit chains and the propagation of financial distress," Working Paper Series 0573, European Central Bank.
  17. Calza, Alessandro & Zaghini, Andrea, 2006. "Non-linear dynamics in the euro area demand for M1," Working Paper Series 0592, European Central Bank.
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