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

开放经济中商品定价的实证和理论研究及其对宏观经济的影响

• 批准号: 9709491
• 负责人: Charles Engel
• 金额: $ 19.71万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-07-01 至 2001-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9709491&HistoricalAwards=false
• 关键词: Empirical; Theoretical; Investigation; into; Goods

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. ??

9709491 Engel 该项目解决了国际金融的核心问题之一：消费者和生产者价格如何响应名义汇率变化，以及这些响应如何与进口价格变化相关。 如果探讨的话，会对实际汇率行为产生影响。 实证工作的目标是让我们能够将商品定价模型构建到开放经济体的宏观经济模型中。 将研究市场定价理论和菜单成本定价之间的联系，并研究其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审查目前流行的面板数据购买力平价测试方法。 提出了一种概括现有工作的新模型。 它允许价格调整的速度与价格不平衡的几个来源相关。 它还构建了一个跨地点价格冲击协方差模型，使得通过 GLS 估算相对较大的面板变得可行。 该项目的第二阶段利用了最近从劳工统计局获得的新数据集。 它由分为 44 个子类别的消费者价格数据组成，这些数据合计占 C.P.I. 的 99.5% 以上。 该数据适用于美国 27 个城市。 加拿大城市的可比较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。 许多实证研究的主旨是区分由于位置之间的距离而导致的市场分割导致的位置内相对价格行为和也可能取决于名义汇率行为的跨国位置对之间的相对价格行为。 ??