Lumpy Price Adjustments: A Microeconometric Analysis
基于随机阈值的状态依赖定价模型，估计非线性面板数据模型，分析比利时和法国多种消费品价格变化的频率和幅度，发现随机阈值的均值和变异性是解释频率差异的关键，而特质冲击是幅度变化的主要驱动因素。
Based on a reduced-form state-dependent pricing model with random thresholds, we specify and estimate a nonlinear panel data model with an unobserved factor representing the common cost or demand components of the unobserved optimal price. Using this model, we are able to assess the relative importance of common and idiosyncratic shocks in explaining the frequency and magnitude of price changes in the case of a wide variety of consumer products in Belgium and France. We find that the mean level and variability of the random thresholds are key for explaining differences across products in the frequency of price changes. We also find that the idiosyncratic shocks represent the most important driver of the magnitude of price changes. Supplementary materials for this article are available online.