Dynamic Measures of Inflation

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。通货膨胀是经济学家最常用的概念之一，在研究数据库中搜索这个词会产生数千个匹配项。价格指数领域的大多数工作使用静态模型，例如，消费者在没有不确定性的情况下最大化单期效用，而大多数现代宏观经济学是明确动态的。该项目的目标是使用动态模型来构建新的通货膨胀措施。具体来说，PI将尝试回答三个独立的问题：第一个问题是如何衡量一个代理人的生活成本，该代理人生活了许多时期，并希望在每个时期开始时处于同样好的位置来实现其目标。例如，父母为不同年龄的孩子规划遗产，大学管理捐赠，家庭管理退休账户。众所周知，保持消费篮子不变的价格指数存在替代偏差，因为商品价格上涨会导致人们减少购买。本研究将表明，在CPI等静态指标中也存在跨期替代偏差，因为当价格上涨时，人们会向未来借款。这项工作的第二个见解是，跨期的相对价格，如耐用品价格的资产价格，应该包括在生活成本通胀的措施，因为他们捕捉跨期面临的代理商的权衡。第二个问题是什么样的通胀指标指数债券，以提供一个无风险的资产。初步结果表明，像CPI这样的静态价格指数可能是这个动态问题的答案。一个无限厌恶风险的投资者希望持有一种债券，这种债券在每个时期都能提供相同的效用流，这就是静态生活成本价格指数的定义，第三个问题是如何将价格变化分为相对价格变化和纯粹通货膨胀。结果表明，传统的通货膨胀措施主要是由相对价格的变化，并提供了一个二维指数，应该是有用的，在未来的工作，需要控制他们。这种分离也将使人们能够推断出是什么解释了通货膨胀和真实的经济活动之间的相关性。如果是相对价格，那么这表明解释菲利普斯曲线需要有许多商品的模型？品种和名义刚性，就像过去十年中货币政策和通货膨胀研究中突出的那些。拟议活动的更广泛影响很少有经济指标像通货膨胀那样被广泛使用。这项研究应该可以让政策制定者更好地衡量相关的经济变量（生活成本），并帮助退休人员投资他们的退休账户，大学和其他组织管理他们的捐赠，以及父母计划他们的遗赠。此外，许多国家现在发行与通货膨胀挂钩的债券，这项研究应有助于澄清为此目的衡量通货膨胀的最佳办法。最后，正确识别纯通货膨胀，除了在理论上为解释菲利普斯相关性指明正确的路径外，还应该为货币政策的实施提供指导。该项目还将有助于培训青年研究人员，他们将协助研究工作。

This award is funded under the American Recovery and Reinvestment Act of 2009 (Public Law 111-5)."Intellectual merit of proposed research activityInflation is one of the most used concepts by economists, with a search for the term in research databases yielding thousands of matches. Most work in the area of price indices uses static models, e.g., of consumers maximizing one-period utility with no uncertainty, while most modern macroeconomics is explicitly dynamic. The goal of this project is to use dynamic models to construct new measures of inflation. In particular, the PI will try to answer three separate questions.The first question is how to measure the cost-of-living for an agent that lives for many periods and wants to be in an equally good position to fulfill its goals at the start of each period. Examples are parents planning bequests for different aged children, universities managing endowments, and households managing retirement accounts. It is well-known that price indices that keep the consumption basket fixed suffer from a substitution bias, as an increase in the price of a good leads people to buy less of it. This research will show that there is also an intertemporal substitution bias in static measures like the CPI, since when prices go up, people will borrow from the future in response. A second insight from this work is that intertemporal relative prices, such as asset prices of the price of durables, should be included in measures of cost-of-living inflation because they capture the intertemporal trade-offs facing the agents.The second question is what measure of inflation to index bonds to in order to provide a riskless asset. The preliminary results show that a static price index like the CPI may be the answer to this dynamic question. An infinitely risk-averse investor wishes to hold a bond that gives the same flow of utility every period, and this is the definition of a static cost-of-living price index.The third question is how to separate price changes into relative-price changes versus pure inflation. The results indicate that conventional measures of inflation are mostly driven by changes in relative prices, and provide a 2-dimensional index that should be useful in future work that needs to control for them. This separation will also allow one to infer what accounts for the correlation between measures of inflation and real activity. If it is relative prices, then this suggests that explaining the Phillips curve requires models with many goods? varieties and nominal rigidities, like those that have been prominent in research on monetary policy and inflation in the past decade.Broader impact of proposed activity Few economic measures are as widely used as inflation. This research should allow policymakers to better measure a relevant economic variable (the cost of living), as well as help retirees invest their retirement accounts, universities and other organizations manage their endowments, and parents plan their bequests. Moreover, many countries now issue inflation-indexed bonds, and this research should help clarify what the optimal measure of inflation is for this purpose. Finally, correctly identifying pure inflation, beyond theoretically pointing to the right path for explaining the Phillips correlation, also should provide guidance to the conduct of monetary policy. The project will also contribute to the training of young researchers, who will assist in the research.