Measuring the Importance of the Uniform Nonsynchronization Hypothesis

22 Pages Posted: 24 Apr 2006

Date Written: April 2006

Abstract

In this paper we critically reappraise some measures of the importance of time-dependent price setting rules and propose an alternative way to gauge the significance of this type of price setting behaviour. The merits of the proposed measure are highlighted in an application using micro-data. Our results suggest that a large proportion of price trajectories may be compatible with simple time-dependent price setting mechanisms but the strength of this evidence very much depends on the way that is used to evaluate the importance of this type of behaviour.

Keywords: Time-dependent price setting models, uniform staggering, perfect synchronization

JEL Classification: D40, E31, L11

Suggested Citation

Dias, Daniel and Robalo Marques, Carlos Manuel and Santos Silva, João M.C, Measuring the Importance of the Uniform Nonsynchronization Hypothesis (April 2006). ECB Working Paper No. 606, Available at SSRN: https://ssrn.com/abstract=890991 or http://dx.doi.org/10.2139/ssrn.890991

Daniel Dias (Contact Author)

Bank of Portugal ( email )

Rua Francisco Ribeiro, 2
Lisbon, 1150-165
Portugal

Carlos Manuel Robalo Marques

Bank of Portugal ( email )

Rua Francisco Ribeiro, 2
Lisbon, 1150-165
Portugal

João M.C Santos Silva

University of Surrey ( email )

Guildford
Surrey GU2 7XH
United Kingdom

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