| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9702 |
| DP9702 Time-Varying Business Volatility and the Price Setting of Firms | |
| Ruediger Bachmann; Benjamin Born | |
| 发表日期 | 2013-10-27 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Does time-varying business uncertainty/volatility affect the price setting of firms and, if so, in what way? To address this question, we estimate from the firm-level micro data of the German ifo Business Climate Survey the impact of idiosyncratic volatility on the extensive margin of the price setting behavior of firms. We find that heightened business uncertainty increases the probability of a price change, which suggests that, for price setting, the volatility effect dominates the 'wait-and-see' effect of uncertainty. In a second step, we use structural VAR models to estimate the effects of time-varying business uncertainty on the intensive pricing margin. We find that higher business uncertainty leads to both an increase in price dispersion and in the average size of absolute price changes which is mainly driven by price decreases. Taken together, our results show that higher business uncertainty causes a rise in both the extensive and intensive margins of price setting. |
| 主题 | International Macroeconomics |
| 关键词 | Intensive margin Extensive magin Price setting Survey data Time-varying uncertainty/volatility |
| URL | https://cepr.org/publications/dp9702 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538538 |
| 推荐引用方式 GB/T 7714 | Ruediger Bachmann,Benjamin Born. DP9702 Time-Varying Business Volatility and the Price Setting of Firms. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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