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Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation

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  • Fougère, Denis
  • ,
  • Sevestre, Patrick
Abstract
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. For that purpose, 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 findings are the following: i) cross-product and cross-outlet-type heterogeneity is pervasive, both in the shape of the hazard function and in the impact of covariates; 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.

Suggested Citation

  • Fougère, Denis & , & Sevestre, Patrick, 2005. "Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation," CEPR Discussion Papers 5300, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:5300
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    More about this item

    Keywords

    Sticky prices; Heterogeneity; Hazard function; Duration models;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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