Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation

44 Pages Posted: 29 Dec 2005

See all articles by Denis Fougère

Denis Fougère

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE); National Center for Scientific Research (CNRS); IZA Institute of Labor Economics

Hervé le Bihan

Banque de France - Centre de Recherche

Patrick Sevestre

Aix-Marseille University

Multiple version iconThere are 3 versions of this paper

Date Written: October 2005

Abstract

This paper examines heterogeneity in price stickiness using a large, original, set of individual price data collected at the retail level for the computation of the French CPI. For that purpose, we estimate at a very high level of disaggregation competing-risks duration models that distinguish between price increases, price decreases and product replacements. The main findings are the following: i) cross-product and cross-outlet-type heterogeneity is pervasive, both in the shape of the hazard function and in the impact of covariates; ii) at the product-outlet type level, the baseline hazard function of a price spell is non-decreasing; iii) there is strong evidence of state dependence, especially for price increases.

Keywords: Sticky prices, heterogeneity, hazard function, duration models

JEL Classification: C41, E31

Suggested Citation

Fougere, Denis and Le Bihan, Herve and Sevestre, Patrick, Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation (October 2005). CEPR Discussion Paper No. 5300, Available at SSRN: https://ssrn.com/abstract=872781

Denis Fougere (Contact Author)

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) ( email )

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National Center for Scientific Research (CNRS)

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IZA Institute of Labor Economics

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Herve Le Bihan

Banque de France - Centre de Recherche ( email )

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France

Patrick Sevestre

Aix-Marseille University ( email )

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