How Do Gasoline Prices Respond to a Cost Shock?

In a broad class of sticky-price models, theory predicts that the kurtosis-to-frequency ratio of price changes is a sufficient statistic for the cumulative impulse response of prices (CIRP) to a nominal shock. Using several million daily gasoline prices in France, we provide supporting evidence of this prediction. The CIRP correlates with the kurtosis-to-frequency ratio, but also with both frequency and kurtosis taken separately. The sign and the magnitude of the correlations are fully in line with theoretical predictions. Other moments of the price change distribution do not correlate with the CIRP.