Time-varying business volatility and the price setting of firms

• 成果类型: Article
• 署名作者: Bachmann, Rildiger; Born, Benjamin; Elstner, Steffen; Grimme, Christian
• 署名单位: University of Notre Dame; Frankfurt School Finance & Management; Leibniz Association; Ifo Institut; Leibniz Association; RWI - Leibniz Institut fur Wirtschaftsforschung; University of Munich; Leibniz Association; Ifo Institut
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.07.013
• 发表日期: 2019
• 页码: 82-99
• 关键词: Survey data; Time-varying uncertainty/volatility; Price setting; Extensive margin; Intensive margin

摘要

Does time-varying business uncertainty/volatility affect the price setting of firms and in what way? We estimate from the micro data of the German ifo Business Climate Survey the impact of idiosyncratic volatility on the extensive margin of firm-level price setting behavior. Heightened uncertainty increases the probability of a price change, suggesting that, for price setting, the volatility effect dominates the wait-and-see effect. In a second step, we use structural vector autoregressions to estimate the effects of uncertainty on the intensive pricing margin. Higher uncertainty leads to an increase in price dispersion and to larger price adjustments. (C) 2018 Elsevier B.V. All rights reserved.