What We Can Learn about the Behavior of Firms from the average Monthly Frequency of Price-Changes: An Application to the UK CPI Data

Huw Dixon and Kun Tian

No 4226, CESifo Working Paper Series from CESifo

Abstract: In this paper, we see how much the average monthly frequency of price changes ties down the behavior of firms in steady-state in terms of the average length of price-spells across firms. We use the UK CPI data at the aggregate and sectoral level and find that the actual mean is about twice the theoretical minimum consistent with the observed frequency. We estimate the distribution using the hazard function and find that, despite the micro differences, the artificial Calvo distributions generated using the sectoral frequencies result in very similar impulse responses to the estimated hazards when used in the Smets-Wouters (2003) model.

Keywords: price-spell; steady state; duration (search for similar items in EconPapers)
JEL-codes: E50 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: What We can Learn About the Behaviour of Firms from the Average Monthly Frequency of Price-Changes: An Application to the UK CPI Data (2017)
Working Paper: What we can learn about the behavior of firms from the average monthly frequency of price-changes: an application to the UK CPI data (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4226

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