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Time or State Dependent Price Setting Rules? Evidence from Portuguese Micro Data

Dias, Daniel A and Marques, Carlos Robalo and Santos Silva, Joao M C (2005) Time or State Dependent Price Setting Rules? Evidence from Portuguese Micro Data. Working Paper. Banco de Portugal, Economics and Research Department.

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Abstract

In this paper we analyse the ability of time and state dependent price setting rules to explain durations of price spells or the probability of changing prices.Our results suggest that simple time dependent models cannot be seen as providing a reasonable approximation to the data and that state dependent models are required to fully characterise the price setting behaviour of Portuguese firms. Inflation, the level of economic activity and the magnitude of the last price change emerge as relevant variables affecting the probability of changing prices. Moreover, it is seen that the impact differs for negative and positive values of these covariates.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 13:14
Last Modified: 07 Aug 2012 13:14
URI: http://repository.essex.ac.uk/id/eprint/3570

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