Micro and macro price dynamics in daily data

• 成果类型: Article
• 署名作者: Abe, Naohito; Tonogi, Akiyuki
• 署名单位: Hitotsubashi University; Mitsubishi International Corporation (MIC)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2010.05.016
• 发表日期: 2010
• 页码: 716-728
• 关键词: Price stickiness; Scanner data; CPI

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.