An Empirical and Theoretical Investigation into Goods Pricing in Open Economies and the Implications for the Macroeconomy

[9709491]恩格尔这个项目解决了国际金融中的一个核心问题：消费者和生产者价格如何对名义汇率变化作出反应，以及这些反应如何与进口价格的变化联系起来。对实际汇率行为的影响进行了探讨。实证工作的目标是使我们能够将商品定价模型构建到开放经济的宏观经济模型中。将研究按市场定价理论与菜单成本定价之间的联系，并将审查对外汇汇率波动和可能的国际市场效率的影响。该项目的第一阶段涉及重新检查目前流行的面板数据购买力平价测试方法。在此基础上提出了一个新的模型。它考虑到价格调整的速度与价格不平衡的几个来源有关。它还构建了一个跨地区价格冲击协方差模型，使GLS估计相对较大的面板是可行的。该项目的第二阶段使用了最近从劳工统计局获得的一组新数据。它包括消费者价格数据，分为44个子类别，合计占cpi的99.5%以上。该数据来自美国27个城市。加拿大各城市的可比数据来自加拿大统计局。该项目使用这些数据来检查地点之间的价格行为。许多实证研究的重点是区分由于地点之间距离造成的市场分割造成的地点内相对价格行为和可能也取决于名义汇率行为的跨国地点对之间的相对价格行为。？?

9709491 Engel This project addresses one of the central questions in international finance: how consumer and producer prices respond to nominal exchange rate changes, and how those responses relate to changes in import prices. The implications for the behavior for real exchange rates if explored. The goal of the empirical work is to allow us to build models of goods pricing into macroeocnomic models of open economies. The link between pricing-to-market theories and menu-cost pricing will be studied, and the consequences for foreign exchange rate volatility and possibly international market efficiency will be examined. The first phase of the project involves reexamining currently popular methods of testing purchasing power parity of panel data. A new model is proposed which generalizes existing work. It allows for the speed of adjustment of prices to relate to several sources of price disequilibria. It also constructs a model for the covariance of price shocks across locations that makes estimation of relatively large panels by GLS feasible. The second phase of the project makes use of a new data set recently obtained from the Bureau of Labor Statistics. It consists of consumer price data disaggregated into 44 sub-categories which together comprise over 99.5% of the C.P.I. The data is available for 27 U.S. cities. Comparable data are obtained from Statistics Canada for Canadian cities. The project uses the data to examine the behavior of prices between locations. The thrust of many of the empirical studies is to distinguish between intra-location relative price behavior that is due to market segmentation owing to distance between locations and relative price behavior between cross-country location pairs that may also depend on nominal exchange rate behavior. ??