Downward Price Rigidity of the Japanese CPI -- Analysis by Probability Density Functions and Spatial Density Functions

We define downward price rigidity as the state in which the speed at which prices fall is slower than that in which they rise. Based on this definition, we examine the downward price rigidity of each item that constitutes the core CPI of Japan. That is, according to the results of fractional integration tests on price changes of individual items, we estimate probability density functions in the stationary case and estimate spatial density functions in the nonstationary case. We also test their skewness. As a result, we found significant downward price rigidity in some items. Roughly speaking, about 20-30% of the core CPI weight shows downward price rigidity.