International price dispersion in state-dependent pricing models

• 成果类型: Article
• 署名作者: Midrigan, Virgiliu
• 署名单位: New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.06.022
• 发表日期: 2007
• 页码: 2231-2250
• 关键词: ppp; Law of one price; menu costs; Trade costs

摘要

Menu-cost models predict a hump-shaped relationship between real and nominal exchange rate volatility. The hump occurs at higher values of nominal exchange rate volatility, the higher trade costs and lower international substitution elasticities are. These predictions accord well with the negative relationship between relative price and nominal exchange rate volatility I document using a data set of prices collected in Eastern Europe in a volatile environment. In contrast, trade costs must be sufficiently high or international substitution elasticities low in order for the model to account for the positive correlation between real and nominal exchange rate volatility in the aggregate data. (c) 2007 Elsevier B.V. All rights reserved.