Template-Type: ReDIF-Paper 1.0
Author-Name: Erwan Gautier
Author-X-Name-First: Erwan
Author-X-Name-Last: Gautier
Author-Workplace-Name: Banque de France
Author-Name: Cristina Conflitti
Author-X-Name-First: Cristina
Author-X-Name-Last: Conflitti
Author-Workplace-Name: Banca d’Italia
Author-Name: Riemer P. Faber
Author-X-Name-First: Riemer P.
Author-X-Name-Last: Faber
Author-Workplace-Name: National Bank of Belgium
Author-Name: Brian Fabo
Author-X-Name-First: Brian
Author-X-Name-Last: Fabo
Author-Workplace-Name: National Bank of Slovakia
Author-Name: Ludmila Fadejeva
Author-X-Name-First: Ludmila
Author-X-Name-Last: Fadejeva
Author-Workplace-Name: Latvijas Banka
Author-Name: Valentin Jouvanceau
Author-X-Name-First: Valentin
Author-X-Name-Last: Jouvanceau 
Author-Workplace-Name: Lietuvos Bankas
Author-Name: Jan-Oliver Menz
Author-X-Name-First: Jan-Oliver
Author-X-Name-Last: Menz
Author-Workplace-Name: Deutsche Bundesbank
Author-Name: Teresa Messner
Author-X-Name-First: Teresa
Author-X-Name-Last: Messner
Author-Workplace-Name: Oesterreichische Nationalbank
Author-Name: Pavlos Petroulas
Author-X-Name-First: Pavlos
Author-X-Name-Last: Petroulas
Author-Workplace-Name: Bank of Greece
Author-Name: Pau Roldan-Blanco
Author-X-Name-First: Pau
Author-X-Name-Last: Roldan-Blanco
Author-Workplace-Name: Banco de Espana
Author-Name: Fabio Rumler
Author-X-Name-First: Fabio
Author-X-Name-Last: Rumler
Author-Workplace-Name: Oesterreichische Nationalbank
Author-Name: Sergio Santoro
Author-X-Name-First: Sergio
Author-X-Name-Last: Santoro
Author-Workplace-Name: European Central Bank
Author-Name: Elisabeth Wieland
Author-X-Name-First: Elisabeth
Author-X-Name-Last: Wieland
Author-Workplace-Name: Deutsche Bundesbank
Author-Name: Helene Zimmer
Author-X-Name-First: Helene
Author-X-Name-Last: Zimmer
Author-Workplace-Name: National Bank of Belgium
Title: New Facts on Consumer Price Rigidity in the Euro Area
Abstract: Using CPI micro data for 11 euro area countries covering about 60% of the euro area consumption basket over the period 2010-2019, we document new findings on consumer price rigidity in the euro area: (i) each month on average 12.3% of prices change, which compares with 19.3% in the United States; when we exclude price changes due to sales, however, the proportion of prices adjusted each month is 8.5% in the euro area versus 10% in the United States; (ii) differences in price rigidity are rather limited across euro area countries but much larger across sectors; (iii) the median price increase (resp. decrease) is 9.6% (13%) when including sales and 6.7% (8.7%) when excluding sales; cross-country heterogeneity is more pronounced for the size than for the frequency of price changes; (iv) the distribution of price changes is highly dispersed: 14% of price changes in absolute values are lower than 2% whereas 10% are above 20%; (v) the overall frequency of price changes does not change much with inflation and does not react much to aggregate shocks; (vi) changes in inflation are mostly driven by movements in the overall size; when decomposing the overall size, changes in the share of price increases among all changes matter more than movements in the size of price increases or the size of price decreases. These findings are consistent with the predictions of a menu cost model in a low inflation environment where idiosyncratic shocks are a more relevant driver of price adjustment than aggregate shocks.
Creation-Date: 2022-06-30
File-URL: https://datnes.latvijasbanka.lv/papers/WP_3-2022.pdf
File-Format: Application/pdf
Number: 2022/03
Classification-JEL: D40, E31
Keywords: price rigidity, inflation, consumer prices, micro data
Handle: RePEc:ltv:wpaper:202203