Price Adjustment, Exchange Rate Policy and Monetary Models

价格调整、汇率政策和货币模型

• 批准号: 0922011
• 负责人: Emi Nakamura
• 金额: $ 41.98万
• 依托单位: Columbia University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-08-15 至 2013-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0922011&HistoricalAwards=false
• 关键词: Price; Adjustment; Exchange; Rate; Policy

This award is funded under the American Recovery and Reinvestment Act of 2009 (Public Law 111-5).I. Intellectual Merit. The nature of price setting by firms is central to many important questions in macroeconomics. Over the last few years, research on firm price setting has been transformed by the increased availability of micro price data. For several years, the PI's have been engaged in developing and analyzing the newly available micro price data at the U.S. Bureau of Labor Statistics (BLS). The goal of the current project is to continue this research along four dimensions.First, the PI's intend to work with the BLS to extend the academic research database on consumer prices further back in time. The current start date of this database is 1988. They hope to be able to extend the database back to the 1970's. This is of particular interest because inflation in the U.S. was much more variable in the 1970's and early 1980's than it has been since. They intend to use the expanded database to analyze how the frequency and size of price changes as well as the degree of price dispersion has varied over time. This will allow them to draw sharper conclusions about the success of different models of price setting than are possible using currently available data. Since the dataset will be constructed as a research database, they expect it will eventually be heavily used by future researchers both in academia and at the BLS.Second, they intend to analyze how product replacement affects exchange rate pass-through. In constructing price indices, price adjustments that occur at the time of product replacements tend to be dropped. If price adjustments disproportionately occur at the time of product replacements, then price adjustments are disproportionately unobserved. This will bias measures of exchange rate passthrough. The preliminary estimates suggest that this bias is large, potentially affecting estimates of exchange rate pass-through for the U.S. by as much as a factor of two.Third, they intend to use a large proprietary dataset we have obtained from AC Nielsen to analyze the comovement of retail prices across products, stores and cities in the U.S. The data consist of weekly prices and quantities for several thousand products and several thousand grocery stores over five years. Preliminary results suggest that a large part of retail price variation is due to dynamic pricing strategies as opposed to contemporaneous demand or supply shocks. The PI's are in the process of collecting an additional new dataset on manufacturer contracts that will allow them to extend their findings to answer the question of whether the observed variation in retail prices arises from complex price discrimination strategies by manufacturers or from dynamic pricing strategies by retailers.Fourth, they intend to use a new dataset on Icelandic consumer and import prices to analyze the role of local costs in explaining failures of purchasing power parity. Several existing studies of failures of purchasing power parity distinguish between traded and non-traded goods to try to evaluate the importance of local costs. An important concern regarding such studies is how to define tradable goods, since many goods that are in principle tradable are in practice rarely traded. The PI's aim to address these concerns by using the unique feature of the Icelandic consumer data that it identifies which products are, in fact, imported and which are not, and by matching the consumer price data with at-the-dock import prices to gauge the importance of non-traded distribution margins.II. Broader Impact. The research is potentially highly relevant to policymakers at the Federal Reserve by shedding new light on the costs of inflation, the likely real effects of monetary policy and the effects of movements in the U.S. dollar on prices. The project involves the creation of a new historical dataset in collaboration with the BLS. This dataset will be made available to the academic community through the BLS outside researcher program. The PI's earlier research on this topic has been published in top academic journals and they intend to continue to disseminate their work in academic journals. Their prior research on this topic has also informed public discourse by being discussed in major news outlets such as The Economist and in undergraduate textbooks on macroeconomics.

该奖项是根据2009年美国复苏和再投资法案（公法111-5）资助的。知识价值。企业定价的本质是宏观经济学中许多重要问题的核心。在过去几年中，由于微观价格数据的增加，对企业价格设定的研究已经发生了转变。几年来，PI一直致力于开发和分析美国劳工统计局（BLS）最新提供的微观价格数据。当前项目的目标是沿着四个维度继续这项研究。首先，PI打算与劳工统计局合作，进一步扩展有关消费者价格的学术研究数据库。这个数据库的当前起始日期是1988年。他们希望能够将数据库扩展到20世纪70年代。这是特别有趣的，因为美国的通货膨胀在20世纪70年代和80年代初比以后更加多变。他们打算使用扩展后的数据库来分析价格变化的频率和规模以及价格分散的程度如何随时间而变化。这将使他们对不同定价模式的成功得出比使用现有数据更清晰的结论。由于该数据集将被构建为一个研究数据库，他们预计它最终将被学术界和劳工统计局的未来研究人员大量使用。其次，他们打算分析产品更新如何影响汇率传递。在构建价格指数时，在产品更换时发生的价格调整往往被忽略。如果价格调整不成比例地发生在产品更换时，那么价格调整不成比例地未被观察到。这将使汇率传递指标产生偏差。初步估计表明，这种偏差很大，可能会对美国汇率传递的估计产生多达两倍的影响。第三，他们打算使用我们从AC尼尔森获得的大型专有数据集来分析美国不同产品、商店和城市的零售价格变动。数据包括五年来数千种产品和数千家杂货店的每周价格和数量。初步结果表明，零售价格变化的很大一部分是由于动态定价策略，而不是同期的需求或供应冲击。PI正在收集关于制造商合同的额外新数据集，这将使他们能够扩展他们的发现，以回答观察到的零售价格变化是来自制造商复杂的价格歧视策略还是来自零售商的动态定价策略的问题。第四，他们打算使用冰岛消费者和进口价格的新数据集来分析当地成本在解释购买力平价失败中的作用。一些关于购买力平价失效的现有研究区分了贸易商品和非贸易商品，试图评估当地成本的重要性。这类研究的一个重要问题是如何定义可贸易商品，因为许多原则上可贸易的商品实际上很少交易。PI的目的是通过使用冰岛消费者数据的独特特征来解决这些问题，它确定了哪些产品实际上是进口的，哪些不是进口的，并通过将消费者价格数据与码头进口价格相匹配来衡量非贸易分销边际的重要性。更广泛的影响。这项研究对通胀成本、货币政策可能产生的实际影响以及美元走势对物价的影响提供了新的视角，可能与美联储（fed）的政策制定者高度相关。该项目包括与BLS合作创建一个新的历史数据集。该数据集将通过劳工统计局外部研究人员计划提供给学术界。PI关于这一主题的早期研究已发表在顶级学术期刊上，他们打算继续在学术期刊上传播他们的工作。他们之前对这一主题的研究也通过《经济学人》等主要新闻媒体和宏观经济学本科教科书的讨论，为公共话语提供了信息。