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 ...

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 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 ...

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 ...

While several models assume that price changes are staggered over time, both theory and empirical evidence are ambiguous. This work attempts to identify the behavior of price setters by analyzing a large Brazilian data ...

This research describes price-setting over time and across items in Chile, an emerging market economy. The microeconomic database underlying the consumer price index (CPI) is used to characterize microeconomic pricing ...

The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 ...

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...