Using Brexit to identify the nature of price rigidities

• 成果类型: Article
• 署名作者: Hobijn, Bart; Nechio, Fernanda; Shapiro, Adam Hale
• 署名单位: Arizona State University; Arizona State University-Tempe; Central Bank of Brazil
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103448
• 发表日期: 2021
• 关键词: inflation; Price dynamics; Micro data; menu cost; Time-dependent pricing; State-dependent pricing

摘要

Using price quote data that underpin the official U.K. consumer price index (CPI), we analyze the effects of the unexpected passing of the Brexit referendum on the dynamics of price adjustments. The sizable depreciation of the British pound that immediately followed Brexit works as a quasi-experiment, enabling us to study the transmission of a large common marginal cost shock to inflation as well as the distribution of prices within granular product categories. The bulk of the aggregate inflationary effect is attributable to the size of price adjustments, an aspect matched well by the time-dependent price-setting model. The state-dependent model fares better in capturing the endogenous selection of price changes at the lower end of the price distribution. Both models miss on the magnitude of the adjustment conditional on selection. (c) 2021 Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http:// creativecommons.org/licenses/by-nc-nd/4.0/).