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Tomás Carrera de Souza
De Nederlandsche Bank, the Netherlands
What micro facts of price changes should be considered in the incorporation of price rigidities into macro models? To answer this, I exploit a novel micro data set obtained with web scraping techniques, containing daily prices of eight retailers from six countries with heterogeneous macroeconomic conditions. I find that: (1) There is a relation between the main statistics (related to the size and frequency of price adjustment) and the inflation rate of a country; (2) The distribution of the size of price changes has a relatively small, yet nontrivial mass around zero; (3) Familiar products from the same manufacturer have greater similarity in the timing and magnitude of price adjustment than heterogeneous products. I show that incorporating a three-dimensional cost –composed by a general cost, a product- specific cost, and a cost curtail for price changes in familiar products– makes an otherwise standard menu cost model reproduce these facts.
Palabras Clave: price rigidities, menu costs, monetary policy, sticky prices, web scraping
Códigos JEL: C81, D22, E31, E52
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Fecha de publicación: 27/05/2022 - Fecha de presentación: 31/07/2021 - Fecha de aprobación: 18/11/2021