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• W2147318057 abstract "This study consists of three individual essays which all shed light on assessing theprice rigidity by using price micro data in UK. The relevant implications formacro models are also discussed in each essay respectively.The first essay gives a unified framework a la Dixon (2012) to gauge pricerigidity from three perspectives: frequency, hazard function and distribution acrossfirms. On average, monthly frequency of consumer price change is 19% between1996 and 2007. Sales and substitutions will significantly affect frequency ofconsumer price change. The frequency of consumer price change varies considerableacross sectors. The fraction of price changes which are decreasing is about 40%. Thehazard function is downward sloping with 12-month spike. The censoring andsampling issues in estimation of hazard function are discussed thoroughly. Thedistribution across firms is derived from estimated hazard function, which isconsistent with frequency of price changes. Two benchmark sticky price modelsare calibrated and simulated. Furthermore, a multiple Calvo and multiple menu costsmodel are also simulated, based on empirical finding in micro data. Thesimulation results suggest that introducing heterogeneity into sticky price models canimprove models' fitness in respect to matching micro evidence.The second essay mainly focus on the monthly frequency of price changes, which isa prominent feature of many studies of CPI micro-data. In this essay, we see howmuch frequency ties down behavior of price-setters (firms) in steady-state interms of average length of price-spells across firms. We are able to divide anupper and lower bound for mean duration of price-spells averaged across firms.We use UK CPI data at aggregate and sectoral level and find that actualmean is about twice theoretical minimum consistent with observed frequency.We estimate distribution using hazard function and find that although theestimated hazard differs significantly from Calvo distribution, means andmedians are similar. However, despite micro differences, we find that artificialCalvo distributions generated using sectoral frequencies result in very similarimpulse responses to estimated hazards when used in Smets-Wouters (2003)model.The third essay examines behavior of individual producer prices in UK. Anumber of stylized facts about price setting behavior are uncovered. A time-varyingSs model is set up in a way that is consistent with stylized facts obtained from theUK PPI data. A duration model (semiparametric survival analysis model) is built inline with time-varying Ss model. This duration model is estimated by controllingfor observed and unobserved heterogeneity across firms. The estimation resultssuggest that increase in inflation rate will significantly increase hazard rateof price change. The other factors considered in model will also affect hazardrate of price change, while in different magnitude." @default.
• W2147318057 created "2016-06-24" @default.
• W2147318057 creator A5049224881 @default.
• W2147318057 date "2012-01-01" @default.
• W2147318057 modified "2023-09-27" @default.
• W2147318057 title "Essays on Price Rigidity in the UK: Evidence from Micro Data and Implications for Macro Models" @default.
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