Collaborative Research: Inflation Dynamics During the Financial Crisis

从宏观经济的角度来看，2007-09年金融危机和随后的缓慢复苏最令人困惑的方面之一是通货膨胀的相对稳定。尽管2008年下半年产出大幅收缩，过去几年资源闲置水平持续高位，但美国只经历了适度的反通胀压力--无论是在批发还是零售层面--这种行为很难用总通胀决定的规范模型来解释。本项目研究2008年下半年金融危机最严重时金融条件的大规模紧缩可能有助于解释为什么通货膨胀在金融危机和潜在复苏期间没有像预期那样下降。这一基本假设假定一些公司可能会战略性地设定低价来吸引顾客，这是“顾客市场理论”所暗示的行为，该理论强调价格设定是一种建立未来顾客基础的投资形式。根据这一理论，公司在正常时期会保持相对于竞争对手的低价以吸引新顾客。反过来，这意味着低的当前加价，从而降低现金流。然而，在广泛的金融困境时期--当外部融资变得异常昂贵甚至无法获得时--财务脆弱的公司将通过提高价格来牺牲其客户基础，以稳定当前收入并增强其流动性状况。因此，在金融危机时期，尽管经济活动减少，资源利用率明显不足，但通货膨胀实际上可能会上升。通货膨胀和产出在对不利需求冲击的反应中向相反方向移动的可能性也挑战了关于金融危机期间货币政策适当行动方针的传统思维。为了实证检验这一假设，该项目将公司层面的财务数据与根据劳工统计局（BLS）收集的机密价格数据计算出的相应公司层面的通货膨胀率相结合。初步结果表明，金融因素对2007-09年危机期间的通货膨胀动态有显著影响。与这一假设相一致的是，2008年下半年，财务“薄弱”的公司提高了价格，而财务“强大“的公司则降低了价格，以应对总需求的下降。到目前为止，这一机制对总体通胀动态的影响在很大程度上还没有得到探索，而这项研究提供了一些第一批系统性证据，证明金融条件如何通过激励企业以保持流动性和资产负债表能力的方式设定价格来影响企业的定价行为。就这一渠道在数量上的重要性而言，该项目的分析对衡量金融危机期间破坏性大规模通货紧缩的可能性有直接影响。它也有重要的影响，货币政策的行为，认为政策制定者应该考虑到之间的相互作用，在质量的变化，企业的资产负债表和他们的价格制定行为时，决定未来的名义利率的过程。除了开发将BLS的研究人员数据库与外部企业级数据集联系起来的匹配算法外，该项目还提供了一种基于GPS坐标的当地银行信贷供应条件的新测量方法，该方法可能与未来的BLS研究结合使用，开辟了一套全新的研究可能性，即金融条件和企业行为之间的空间相互作用。

From a macroeconomic perspective, one of the most puzzling aspects of the 2007-09 financialcrisis and the ensuing slow recovery is the relative stability of inflation. Despite a large and sharpcontraction in output in the second half of 2008 and the persistently high level of resource slackover the past several years, the U.S. experienced only a modest degree of disinflationarypressures-both at the wholesale and retail levels-behavior that is difficult to explain withcanonical models of aggregate inflation determination. This project studies the extent to whichthe massive tightening of financial conditions at the height of the crisis in the latter part of 2008may help explain why inflation did not fall as much as expected during the financial crisis and thesubsequent recovery. The underlying hypothesis posits that some firms may strategically set lowprices to attract customers, behavior implied by the "customer-markets theory," whichemphasizes the idea that price setting is a form of investment that builds the future customer base.According to this theory, firms will in normal times maintain low prices relative to theircompetitors in order to attract new customers. In turn, this implies low current mark-ups andhence lower cash flows.However, in times of widespread financial distress-when external finance becomes prohibitivelycostly or even unavailable-financially vulnerable firms will sacrifice their customer base byraising prices to stabilize current revenues and bolster their liquidity positions. Thus in periods ofacute financial distress, inflation may actually rise despite a drop in economic activity and theemergence of a significant degree of resource underutilization. The possibility that inflation andoutput move in opposite directions in response to an adverse demand shock also challengesconventional thinking regarding the appropriate course of action for monetary policy duringfinancial crises.To examine this hypothesis empirically, the project merges firm-level financial data with thecorresponding firm-level inflation rates computed from the confidential price data collected bythe Bureau of Labor Statistics (BLS). Preliminary results indicate that financial factors had asignificant effect on inflation dynamics during the 2007-09 crisis. Consistent with the hypothesis,financially "weak" firms raised prices in the latter part of 2008, whereas their financially "strong"counterparts lowered prices in response to a drop in aggregate demand. To date, the implicationsof this mechanism for aggregate inflation dynamics have remained largely unexplored, and thisstudy provides some of the first systematic evidence on how financial conditions influence theprice-setting behavior of firms through the incentives to set prices in a manner that preserves theirliquidity and balance sheet capacity.To the extent that this channel is quantitatively important, the analysis in this project has a directbearing on gauging the likelihood of destructive large-scale disinflations during financial crises. Italso has important implications for the conduct of monetary policy by arguing that policy makersshould take into account the interaction between changes in the quality of the firms' balancesheets and their price-setting behavior when deciding on the future course of nominal interestrates. In addition to developing the matching algorithm that links BLS' researcher databases withoutside firm-level data sets, the project also provides a new measure of local bank credit-supplyconditions based on the GPS coordinates that may be used in conjunction with future BLSstudies, opening up a whole new set of research possibilities on the spatial interaction betweenfinancial conditions and firm behavior.