In this paper we present a macroeconomic foundation of downward money price inflexibility based on classical Monetary Economics. We show that under the principle of risk aversion and the neutral money axiom, our model ...

State-dependent and time-dependent price setting models yield distinct implications for how frequency and magnitude of price changes react to shocks. This note studies pricing behavior in Brazil following the large devaluation ...

It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...

In spite of vast theoretical developments on the issue of price stickiness in the context of macroeconomic models, papers assessing the empirical validity of such hypothesis using micro-data are scarce. Most of these few ...

This paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation ...

This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring ...