How Do Gasoline Prices Respond to a Cost Shock?

Erwan Gautier, Magali Marx and Paul Vertier

Journal of Political Economy Macroeconomics, 2023, vol. 1, issue 4, 707 - 741

Abstract: In a broad class of sticky-price models, theory predicts that the kurtosis-to-frequency ratio of price changes is a sufficient statistic for the cumulative impulse response of prices (CIRP) to a nominal shock. Using several million daily gasoline prices in France, we provide supporting evidence of this prediction. The CIRP correlates with the kurtosis-to-frequency ratio, but also with both frequency and kurtosis taken separately. The sign and the magnitude of the correlations are fully in line with theoretical predictions. Other moments of the price change distribution do not correlate with the CIRP.

Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://dx.doi.org/10.1086/727698 (application/pdf)
http://dx.doi.org/10.1086/727698 (text/html)
Access to the online full text or PDF requires a subscription.

Related works:
Working Paper: How do Gasoline Prices Respond to a Cost Shock ? (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jpemac:doi:10.1086/727698

Access Statistics for this article

More articles in Journal of Political Economy Macroeconomics from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().