Séminaire COURNOT – Øivind A. Nilsen (Norwegian School of Economics – NHH)

Détails de l'événement :

Titre : Mixed Frequency Data in a Multiproduct (S, s) Pricing Model

Résumé : In order to obtain meaningful and interesting results from models of sticky prices, high frequency (such as monthly) data on prices are essential. If explanatory variables, such as wage costs, are observed at all, this is most likely on a lower frequency (yearly) and prices are therefore aggregated to that same low frequency. In this paper, we propose a mixed-frequency stochastic (S, s)-model, which exploit the relatively high frequencies of prices in combination with firm- and product-specific components both in the pricing- and threshold-equations. The applied estimation procedure allows us to integrate the likelihood over a high-dimensional latent variable without the need to approximate derivatives by finite difference methods. After having controlled for within-firm dependence in all parts of our model, the results document economies of scope in price adjustment within the firm together with a great share of firm-, product- and season-specific heterogeneity. However, the average results are in line with existing findings in the literature.

Lieu du séminaire : Salle du Conseil et ZOOM.

Lien ZOOM : https://cnrs.zoom.us/j/94072731330?pwd=VDdNcWtSZ2tGc0YwRFNmN1FlejBmZz09

Agenda des séminaires : https://www.beta-economics.fr//seminaires-cournot-2022-2023/