Hello!  I am an economist working in the Division of International Finance at the Federal Reserve Board in Washington (D.C.).*  My research program focuses on price-setting issues in macroeconomic models, with a special interest in the Mexican economy. 

A l'eau!  Je suis un économiste travaillant dans la division de Finance internationale à la Réserve fédérale américaine.**  Mes recherches portent principalement sur les mécanismes de détermination des prix dans les modèles macroéconomiques.

Research - Recherche

Price Setting during Low and High Inflation: Evidence from Mexico

This paper provides new insight into the relationship between inflation and consumer price setting by examining a large data set of Mexican consumer prices covering episodes of both low and high inflation, as well as the transition between the two. Overall, the economy shares several characteristics with time-dependent models when the annual inflation rate is low (below 10-15%), while displaying strong state dependence when inflation is high (above 10-15%). At low inflation levels, the aggregate frequency of price changes responds little to movements in inflation because movements in the frequency of price decreases partly offset movements in the frequency of price increases. When the annual inflation rate rises beyond 10-15 percent, however, there are no longer enough price decreases to counterbalance the rising occurrence of price increases, making the frequency of price changes more responsive to inflation. It is shown that a simple menu-cost model with idiosyncratic technology shocks predicts remarkably well the level of the average frequency and magnitude of price changes over a wide range of inflation.

Published in the Quarterly Journal of Economics, vol. 124(3), pages 1221-1263, August 2009.

International Finance Division Paper (IFDP):  May 2007
Slides:  January 2008
Replication material: here

Note:  The IFDP version includes sectoral comparisons and uses a slightly larger data set of products than the published version, which focuses on the aggregate aspects and discusses the dynamic properties of the model.

Menu Costs, Calvo Fairy, Inflation and Micro Facts

This paper investigates whether extensions of the Calvo and menu-cost models that include idiosyncratic technology shocks are consistent with key features of individual consumer price adjustment. The comparison of the models focuses on three facts pertaining to the impact of inflation on the setting of consumer prices. First, the average frequency of consumer price changes initially rises slowly with the level of inflation, becoming more responsive when annual inflation gets beyond 10-15 percent. Second, the distribution of nonzero price changes contains a large number of both small and large price increases and decreases at low, medium, and high levels of inflation. Third, the average magnitude of price increases and decreases varies little with the duration of price spells. The menu-cost model is consistent with the first and third facts, but the Calvo model, while inconsistent with these two facts, provides a much better fit of the distribution of price changes.

Most recent draft: September 2008
Slides: May 2007
Diapos: Mai 2008 (en français)

Discussions 

"Real Rigidities: Evidence from an Online Marketplace" by Takayuki Mizuno, Makoto Nirei, and Tsutomu Watanabe, presented at the conference "Understanding price dynamics: recent advances," Banque de France, 15-16 October 2009. slides

"A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market with an Application to the Bank of Canada" par Douglas Hodgson, Montebello, 48e congrès annuel de la Société canadienne de sciences
économiques, 24 au 26 mai 2008.  diapos (In French)

"Microeconomic sources of real exchange rate variation" by Chris Telmer (Carnegie Mellon), Mario Crucini (Vanderbilt University), Canadian Macro Study Group, Ottawa, 10 November 2007. slides

"Regular Adjustment : Theory and Evidence" by Jerzy D. Konieczny and Fabio Rumler, Rimini Center For Economic Analysis Colloquium on the Macroeconomics of Price Setting, May 2007.  slides.

*The views expressed on this site are solely my own and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any person associated with the Federal Reserve System

**Les opinions exprimées sur ce site sont personnelles et ne peuvent aucunement être interprétées comme reflétant celles du Board of Governors of the Federal Reserve System ou de toute personne associée avec le Federal Reserve System.