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. To that end, 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 endings are the following: i) cross-product and cross-outlet-type heterogeneity in both the shape of the hazard function and the impact of covariates is pervasive 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.
Denis Fougère, Hervé Le Bihan and Patrick Sevestre
Classification JEL : E31, C41.
Keywords : Sticky prices, heterogeneity, hazard function, duration models.
Updated on: 04/19/2019 10:27