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Heterogeneity in consumer price stickiness. A microeconometric investigation

Denis Fougere (), Hervé Le Bihan () and Patrick Sevestre

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We examine heterogeneity in price stickiness using a large, original, set of individual price data collected at the retail level for the computation of the French consumer price index. For that purpose, we estimate at a very high level of disaggregation, a piecewise-constant hazard model, as well as competing-risks duration models that distinguish between price increases, price decreases, and product replacements. The main findings are the following: (a) at the product-outlet-type level, the baseline hazard function of a price spell is nondecreasing; (b) cross-product and cross-outlet-type heterogeneity is pervasive, both in the shape and the level of the hazard function as well as in the impact of covariates; (c) there is strong evidence of state dependence, especially for price increases; (d) there is an asymmetry because determinants of price increases differ from those of price decreases.

Keywords: DURATION MODELS; HAZARD FUNCTION; STICKY PRICES (search for similar items in EconPapers)
Date: 2007-07
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00278922
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Published in Journal of Business and Economic Statistics, Taylor & Francis, 2007, 25 (3), pp.247-264. ⟨10.1198/073500107000000214⟩

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Journal Article: Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation (2007) Downloads
Working Paper: Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation (2006) Downloads
Working Paper: Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation (2005) Downloads
Working Paper: Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation (2005) Downloads
Working Paper: Heterogeneity in consumer price stickiness: a microeconometric investigation (2005) Downloads
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