Keywords
PRECIOS RÍGIDOS
PRECIOS REGULADOS
SERVICIOS
INFLATION PERSISTENCE
STICKY PRICES
REGULATED PRICES
SERVICES
How to Cite
Abstract
The present document studies the degree of inflation persistence and price stickiness across different categories in the Costa Rican Consumer Price index (CPI), using disaggregate and aggregate data, with a particular focus in the regulated and services prices. We adopt two approaches: The parametric approach is based in an autoregressive process with constant mean, and the structural approach is based on the estimation of the New Keynesian Hybrid Phillips Curve. We use different econometric techniques, as univariate and multivariate time series, and panel data methods. The evidence suggests that changes in prices and services regulated items have higher degrees of persistence in addition to presenting rigidities in the adjustment pattern. Also it was found that using disaggregate data the degree of inflation persistence is lower than the inflation persistence estimation of univariate models with aggregate data, and this tend to reduce excluding the regulated and services products prices.
References
Altissimo, F., Erhmann, M., & Smets, F. (2006). Inflation persistence and price-setting behavior in the euro area (Working paper No.46). European Central Bank.
Babecký, J., Coricelli , F., & Horváth , R. (2008). Assessing inflation persistence: Micro evidence on an inflation target economy . Prague: CERGE-IE.
Baltagi , B. H. (2005). Econometric analysis of panel data. Great Britain: Wiley.
Banco Central de Costa Rica. (Marzo-2013). Informe mensual de coyuntura económica. División económica.
Bilke, L. (2005). Break in the mean an persistence of inflation: A sectoral analisis of French CPI (Working paper No.463). European Central Bank.
Bilke, L. (2005). Break in the mean an persistence of inflation: A sectorial analisis oh french CPI (Working paper No.463). European Central Bank.
Bils, M., & Klenow, P. (2002). Some evidence on importance of sticky prices (Working Paper No.9069). NBER .
Blinder , A. (1991). Why are prices sticky? (Working Paper No 3646). NBER.
Calvo , G. (1983). Staggered prices in a utility-maximizing frameword. Journal of Monetary Economics, 383-398.
Chaverri, C., & Torres, C. (2010). Dinámica inflacionaria y persistencia en Costa Rica: 1953-2009. DEC-DIE-025-2010, Banco Central de Costa Rica.
De Gregorio, J. (2007). Macroeconomía: Teoría y políticas. México: Pearson Education.
Estrella, A., & Fuhrer, J. (1998). Dynamic inconsistencies: Counterfactual implications of a class of rational expectations models. Working Paper 98-5, Federal Reserve Bank of Boston.
Gagnon , E. (2009). Price setting during low and high inflation: Evidence for Mexico. The Quarterly Journal of Economics, 1221-1263.
Galí, J., Angeloni , I., Ehrman , M., Aucremanne, L., Levin, A., & Smets, F. (2006). New evidence on inflation persistence and price stickiness in the euro area: Implications for macro modeling. Journal of European Economic Association , 562-574.
Ghysels, E. (1990). Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. PostwarReal Gross National Product. Journal of Business & Economic Statistics 8(2), 145-152.
Ghysels, E., & Perron , P. (1993). The Effect of Seasonal Adjustment Filters on Tests for a Unit Root. Journal of Econometrics 55, 57-98.
Hansen, L. P., & Sargent, T. J. (1993). Seasonal and aproximation errors in rational expectation models. Journal of Econometrics, 21-55.
Kasuya, M. (1999). Downward price rigidity of the Japanese CPI: Analysis by probability density function and spatial density functions (Working Paper 99-3). Research and statistics, Bank of Japan.
Le Bihan , H., & Matheron , J. (2011). Price stickiness and sectoral inflation: Additional evidence (Working Paper No.353). Banque de France.
Le Bihan , H., & Matheron , J. (2011). Price stickiness and sectorial inflation: Additional evidence (Working Paper No.353). Banque de France .
Lee, Y.-J. (2006). Diagnostic testing for dynamic panel data models. Department of Economics, Indiana University.
León , J. (2012). A disagregate model and second round effects for the CPI in Costa Rica. DEC-DIE-DI-10-2012, Banco Central de Costa Rica.
López, E. (2008). Algunos hechos estilizados sobre el comportamiento de los precios regulados en Colombia (Documento de Trabajo No.527). Banco de la República de Colombia .
Lunnemann , P., & Mathä, T. (2005). Regulated and services prices and inflation persistence (Working Paper No.466). European Central Bank .
Lunnemann, P., & Mathä, T. (2004). How persistent is disaggregate inflation?: An analysis across EU15 countries an d HICP sub-indices (Working Paper No.415). European Central Bank.
Mac Donald, R., & Wójcik, C. (2003). Catching up: The role of demand, supply and regulated prices effects on the real exchange rate of four accession countries (Working Paper No.899). CESinfo.
Marques, C. R. (2004). Inflation persistence: Facts or artefacts? (Working Paper No.371). European Central bank .
Menz, J. O., & L. V. (2009). A detailed derivation of the sticky price and sticky information New Keynesian DSGE model. DEP discussion paper, University of Hamburg.
Nakamura, E., & Steinsson , J. (2013). Price rigidity: Microeconomic evidence and macroeconomic implications. Columbia University .
Raciborski , R. (2008). Searching for additional sources of inflation persistence: The micro price panel data approach (Working Paper No.132). National Bank of Belgium.
Rodríguez, A. (2012). Propagación de choques inflacionarios en Costa Rica. Documento de investigación No.09-2012, Banco Central de Costa Rica.
Segura Rodríguez, C., & Vásquez Carvajal , J. (2011). Estimación del parámetro de suavizamiento del filtro de Hodrick y Prescott para Costa Rica. DEC-DIE-DT 006-2011, Banco Central de Costa Rica.
Torres, C. (2012). Costa Rica: Determinación de Cambios estructurales en el nivel de la tasa de inflación: Periodo 1997-2011. Documento de Trabajo 02-2012, Banco Central de Costa Rica.