Since 2014
Time-dependent or State-dependent Pricing? Evidence from Firms' Response to Inflation Shocks
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Time-dependent or State-dependent Pricing? Evidence from Firms' Response to Inflation Shocks
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| Creator |
Guimaraes, Bernardo; Sao Paulo School of Economics - FGV
Mazini, Andre; Sao Paulo School of Economics - FGV Prince, Diogo de; Sao Paulo School of Economics - FGV |
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| Subject |
state-dependent pricing; time-dependent pricing; expected inflation; inflation shocks
E31; E32 |
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| Description |
This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring a large discrepancy between realized and expected inflation surrounding the election of President Lula in 2002-3, we obtain a strong relation between expected inflation and duration of price spells, but little effect of inflation shocks on the frequency of price adjustment. The results thus support models with time-dependent pricing, where the timing for following changes is optimally chosen whenever firms adjust prices.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2015-05-12
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/26962
10.12660/bre.v36n12016.26962 |
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| Source |
Brazilian Review of Econometrics; Vol 36, No 1 (2016); 3-19
Brazilian Review of Econometrics; Vol 36, No 1 (2016); 3-19 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/26962/48536
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| Rights |
Copyright (c) 2015 Brazilian Review of Econometrics
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