{"title":"Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata","authors":"Mario Canales , Bernabe Lopez-Martin","doi":"10.1016/j.econmod.2024.106762","DOIUrl":null,"url":null,"abstract":"<div><p>We analyze the role of exchange rates and uncertainty for inflation and price-setting behavior. To this end, we exploit micro-level data underlying the Consumer Price Index of Chile for the period 2010–2018, and employ a standard dynamic distributed lags specification. We find that uncertainty and exchange rates are positively associated with product-level inflation. Then, we analyze the effect on different dimensions of price-setting. The relation with the frequency of positive (negative) price changes at the variety-establishment level is positive (negative). The results for frequencies are quantitatively important, highlighting this adjustment margin against movements in exchange rates and uncertainty. In contrast, we find little association with the magnitudes of price adjustments.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.2000,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Modelling","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0264999324001184","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We analyze the role of exchange rates and uncertainty for inflation and price-setting behavior. To this end, we exploit micro-level data underlying the Consumer Price Index of Chile for the period 2010–2018, and employ a standard dynamic distributed lags specification. We find that uncertainty and exchange rates are positively associated with product-level inflation. Then, we analyze the effect on different dimensions of price-setting. The relation with the frequency of positive (negative) price changes at the variety-establishment level is positive (negative). The results for frequencies are quantitatively important, highlighting this adjustment margin against movements in exchange rates and uncertainty. In contrast, we find little association with the magnitudes of price adjustments.
期刊介绍:
Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.