This Paper investigates the relationship between the cross-sectional skewness of price changes and the rate of inflation using the CPI data of six countries and regions, including Japan, U.S., U.K., Korea, Hong Kong, and Taiwan. We find a significant positive correlation between the two in the monthly time-series data in each country, but fail to find a similar correlation in the five-year-average cross-country data. The mean-skewness correlation exists in the short-run but disappears in the long-run, which is consistent with the sticky-price model developed by Ball and Mankiw(1995). We also find that relative price changes in each country tend to have a common factor in the sense that items belonging to the upper and lower tails of the price-change distribution are the same across countries, which implies the importance of global supply shocks in relative-price fluctuations.
