Micro and macro price dynamics in daily data

被引：19

作者：

Abe, Naohito ^{[1
]}

Tonogi, Akiyuki ^{[2
]}

机构：

[1] Hitotsubashi Univ, Inst Econ Res, Tokyo, Japan

[2] Mitsubishi UFJ Morgan Stanley Secur Co Ltd, Asia Res Off, Tokyo, Japan

来源：

JOURNAL OF MONETARY ECONOMICS | 2010年 / 57卷 / 06期

关键词：

Price stickiness; Scanner data; CPI; MENU COSTS;

D O I：

10.1016/j.jmoneco.2010.05.016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using Japanese daily scanner data with three billion observations of prices and quantities from 1988 to 2005, this paper investigates micro and macro price dynamics. These data reveal that the frequency of price changes is much larger than that found in standard monthly datasets. The price change frequency exhibits a clear trend and strong across-store heterogeneity, which casts doubts on standard New Keynesian assumptions. The Consumer Price Index (CPI) based on scanner data appears to track the official CPI relatively well, except for a period in which the latter arguably had an upward bias. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：716 / 728

页数：13

共 23 条

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