Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152945
Authors: 
Dias, Daniel
Robalo Marques, Carlos
Santos Silva, João M. C.
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 511
Abstract: 
In this paper we analyse the ability of time and state dependent price setting rules to explain durations of price spells or the probability of changing prices. Our results suggest that simple time dependent models cannot be seen as providing a reasonable approximation to the data and that state dependent models are required to fully characterise the price setting behaviour of Portuguese firms. Inflation, the level of economic activity and the magnitude of the last price change emerge as relevant variables affecting the probability of changing prices. Moreover, it is seen that the impact differs for negative and positive values of these covariates.
Subjects: 
CPI data
Hazard functions
inflation
JEL: 
C41
D40
E31
Document Type: 
Working Paper

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