Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data

Daniel Levy (), Shantanu Dutta and Mark Bergen
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Shantanu Dutta: FBE, Marshall School of Business - USC - University of Southern California
Mark Bergen: Carlson School of Management - UMN - University of Minnesota [Twin Cities] - UMN - University of Minnesota System

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Abstract: We combine two data sets to study price rigidity. The first consists of weekly time series of retail, wholesale, and spot prices for twelve products. These time series contain two exogenous cost shocks. We find that prices exhibit more rigidity in response to the second shock than the first. The second data set consists of all publicly available information about the shocks. Content analysis of these information reveals that the first shock is larger and more persistent, and the market has more information on it than the second. We conclude, therefore, that prices are more flexible in response to cost shocks that are larger, that are more persistent, and on which market participants have more information.

Keywords: Menu Cost; Cost of Price Adjustment; Price Rigidity; Sticky Prices; Rigid Prices; Price Flexibility; Variation in Price Rigidity; Price Stickiness; Exogenous Shocks; Temporary Shocks; Permanent Shocks; Weather Shocks; News; Information Shocks; Content Analysis; Shock Persistence (search for similar items in EconPapers)
Date: 2002
Note: View the original document on HAL open archive server: https://hal.science/hal-02386496
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Published in Journal of Money, Credit, and Banking, 2002, 34 (1), pp.197-220. ⟨10.1353/mcb.2002.0031⟩

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Related works:
Working Paper: Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data (2004)
Journal Article: Heterogeneity in Price Rigidity: Evidence from a Case Study Using Microlevel Data (2002)
Journal Article: Heterogeneity in Price Rigidity: Evidence from a Case Study Using Microlevel Data (2002)
Working Paper: Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02386496

DOI: 10.1353/mcb.2002.0031

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