Sticky prices and deviations from the Law of One Price: Evidence from Mexican micro-price data
Sticky prices and deviations from the Law of One Price: Evidence from Mexican micro-price data
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粘性价格和对一价定律的偏离：来自墨西哥微观价格数据的证据
DOI：
10.1016/j.jinteco.2015.10.002
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发表时间：
2016
影响因子：
3.3
通讯作者：
Andrés Elberg
中科院分区：
文献类型：
--
作者：
Andrés Elberg
本文使用每周抽样的商店价格的新数据集来研究粘性价格对一国内偏离一价定律（LOP）的波动性和持久性的影响。发现LOP偏差的波动性随两地距离和价格粘性程度的增加而增加。粘性价格也被发现与LOP偏差的持续存在有系统的关系：对于具有粘性价格的商品，LOP偏差的半衰期系统地更长。这些观察结果与具有真实市场分割和卡尔沃定价的动态一般均衡模型的预测一致。我还发现了显著快速收敛到LOP的证据（LOP偏差的平均半衰期为3-6周），并表明先前报告的收敛估计可能受到积极的时间聚集偏差的影响。
This paper uses a novel dataset of weekly sampled store-level prices to study the impact of sticky prices on the volatility and persistence of intranational deviations from the Law of One Price (LOP). The volatility of LOP deviations is found to be increasing both on the distance separating two locations and on the degree of price stickiness. Sticky prices are also found to be systematically related to the persistence of LOP deviations: Half-lives of LOP deviations are systematically larger for goods with stickier prices. These observations are shown to accord well with the predictions of a dynamic general equilibrium model featuring real market segmentation and Calvo pricing. I also find evidence of remarkably fast convergence to the LOP (average half-lives of LOP deviations are in the order of 3–6 weeks) and show that previously reported convergence estimates may be afflicted by a positive temporal aggregation bias.