تعیین قیمت رفتار در اسپانیا : مدارک و شواهد از داده خرد قیمت مصرف کننده

This paper analyses the price setting behaviour of Spanish firms, using a large dataset that contains over 1.1 million price records. It identifies differences in the frequency and size of price adjustments across types of products and explores how these general features are affected by specific factors: seasonality, the level of inflation, changes in indirect taxation and the use of attractive pricing. We find that prices do not change often, but do so by a large amount, and there is a marked heterogeneity across products. Moreover, the high frequency of price reductions suggests that there is no strong downward rigidity.

Individual firms do not continuously adjust their prices to all the relevant shocks in the economy. This fact is not controversial and is a standard assumption in macroeconomics that allows real variables to be affected by nominal shocks. However, the precise way to incorporate micro-founded price adjustment policies in macroeconomic models is less clear-cut. A large strand of literature has been devoted to analysing the implications of alternative forms of nominal rigidities on the dynamic behaviour of aggregate inflation and output. This theoretical literature has shown that the nature of these rigidities determines the response of the economy to potential disturbances and has clear implications for the conduct of monetary policy. In spite of the relevance of the issue of price setting behaviour, empirical work in this area has been scarce and partial, probably due to the lack of appropriate information at the individual level. Earlier studies on price setting referred mostly to a limited number of products. Relevant studies on this literature are Cecchetti (1986) on newsstand prices of magazines, Kashyap (1995) on catalogue prices, Lach and Tsiddon (1992) and Eden (2001) on foodstuff prices and Levy et al. (1997) on products from US supermarket chains. Moreover, the scant available research has mainly focused on the US economy. More recent research has taken advantage of the micro data underlying the Consumer Price Index (CPI) for different countries (Bils and Klenow (2004) for the US, Baharad and Eden (2004) for Israel and Dhyne et al. (2006) for most euro area countries) providing more comprehensive evidence on price setting behaviour. The aim of this paper is to characterise the basic features of the price setting mechanism in the Spanish economy, drawing on a large dataset, containing around 1.1 million price records, that covers the period from January 1993 to December 2001. The dataset includes products corresponding to expenditure categories that cover around 70% of the CPI and, therefore, is well suited for the analysis of the key features of price setting behaviour. In particular, the relatively large time dimension of the dataset allows us to explore the dependence of price setting behaviour on macroeconomic conditions, especially the level of inflation. The scope of the paper is basically descriptive. We provide evidence on the frequency and size of price adjustments, distinguishing between price increases and price reductions, and report direct estimates of the duration of price spells. We document differences in the general features of price setting behaviour across types of products and explore how they are affected by some specific factors: seasonal patterns, the level of inflation, indirect taxation and the practice of using psychological and round prices. The remainder of this paper is organised as follows. Section 2 describes the dataset. Section 3 discusses the statistical concepts used throughout the analysis. Section 4 presents some stylised facts on the frequency and size of price changes and reports direct estimates of price durations. Section 5 analyses the determinants of the frequency of price changes. Section 6 presents our conclusions.

This paper documents the main stylised facts of price setting behaviour of Spanish retailers over the period 1993–2001. To this end, we exploit a subsample of the micro prices underlying the 1992-based Spanish consumer price index. Our analysis mainly focuses on the frequency and size of price changes as well as on the duration of price spells. The main conclusions of our empirical research are the following: 1. Consumer prices are moderately sticky. The average monthly frequency of price changes is 0.15. Alternatively, the direct computation of the duration of price spells indicates that the average duration slightly exceeds 1 year. 2. We find a great deal of heterogeneity in the frequency of price adjustment. As expected, the flexibility of prices is greatest for unprocessed food prices and lowest for services. Heterogeneity is less marked for the size of price changes. 3. While nominal prices are moderately sticky, we do not find signs of a higher degree of downward rigidity. With the exception of the services component, price decreases are only slightly less frequent than price increases, which is consistent with a positive and moderate trend inflation. 4. Even though prices of most products do not change often, they typically change by a large amount (8.6% on average). Moreover, the size of price decreases tends to be somewhat higher than that of price increases. 5. There is a marked seasonality in the frequency of price changes, which suggests that some retailers follow time dependent strategies. 6. The frequency of price adjustment depends on the inflation rate. Upward changes in prices are more frequent when inflation is high and downward changes are less frequent with high inflation rates. This fact is consistent with state-dependent pricing strategies. 7. The application of state-dependent strategies is also supported by the fact that the frequency of price changes is significantly affected by changes in indirect taxation. 8. Use of attractive prices (i.e. psychological and round) is associated with more sluggish price adjustments. 9. Once we control for individual effects, we do not find a significant relationship between the age of a price spell and the probability of observing a price change.