Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets
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稳定货币环境下的价格波动和价格分散：来自德国零售市场的证据
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
J. Winter
中科院分区：
文献类型：
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作者：
Matthias R. Fengler;J. Winter
我们调查通货膨胀和价格变化之间的关系，使用高度分解，每周的消费品价格数据记录在德国在1995年，低通货膨胀时期。我们发现价格变化率和价格离散度之间存在显著的正相关关系，无论是在单个产品还是产品组的水平上。然而，我们没有发现价格变化率和价格波动之间的相关性。结合Tommasi（1993）和Parsley（1996）的类似研究结果，我们发现了一个值得注意的模式：当总名义冲击较小时，只有价格离散度与价格变化相关。随着通货膨胀率的上升，可变性和分散性都受到影响。在恶性通货膨胀期间，价格离散的系统性运动似乎消失了。我们的结论是，价格分散是最好的解释价格调整的微观经济摩擦，而价格波动似乎是与昂贵的价格搜索和信息问题。
We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the rates of price change and price dispersion, both at the level of individual products and product groups. However, we find no correlation between the rates of price change and price variability. Together with results from similar studies, Tommasi (1993) and Parsley (1996), a remarkable pattern emerges: When aggregate nominal shocks are small, only price dispersion is correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During hyperinflation, systematic movements of price dispersion seem to disappear. We conclude that price dispersion is best explained by microeconomic frictions in price adjustment, whereas price variability appears to be related to costly price search and information problems.