汇率、不确定性和价格制定:来自消费物价指数微观数据的证据

IF 4.2 2区 经济学 Q1 ECONOMICS Economic Modelling Pub Date : 2024-05-28 DOI:10.1016/j.econmod.2024.106762
Mario Canales , Bernabe Lopez-Martin
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引用次数: 0

摘要

我们分析了汇率和不确定性对通货膨胀和定价行为的影响。为此,我们利用了 2010-2018 年期间智利消费者价格指数的微观数据,并采用了标准的动态分布滞后模型。我们发现,不确定性和汇率与产品层面的通货膨胀正相关。然后,我们分析了对价格制定的不同维度的影响。在品种设立层面上,价格正(负)变化的频率与通胀的关系是正(负)的。频率方面的结果在数量上非常重要,凸显了这种针对汇率变动和不确定性的调整幅度。相反,我们发现与价格调整幅度的关系不大。
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Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata

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.

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来源期刊
Economic Modelling
Economic Modelling ECONOMICS-
CiteScore
8.00
自引率
10.60%
发文量
295
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 Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished.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.
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