Collaborative Research: Inflation Dynamics During the Financial Crisis

从宏观经济的角度来看，2007-09年金融危机和随之而来的缓慢复苏最令人费解的方面之一是通胀的相对稳定。尽管2008年下半年产出大幅收缩，过去几年资源闲置程度居高不下，但美国只经历了适度的通胀抑制压力--无论是在批发还是零售层面--这一行为很难用总体通胀决定的规范模型来解释。该项目研究了2008年下半年金融危机最严重时期大规模收紧金融状况的程度，这可能有助于解释为什么通货膨胀率在金融危机和随后的复苏期间没有像预期的那样下降。潜在的假设假设是，一些公司可能会策略性地设定较低的价格来吸引客户，这是“客户-市场理论”所暗示的行为，该理论强调定价是一种建立未来客户基础的投资形式。根据这一理论，公司在正常情况下会保持相对于竞争对手的较低价格以吸引新客户。反过来，这意味着当前的加价较低，因此现金流较低。然而，在普遍的财务困境时期-当外部融资变得极其昂贵甚至无法获得-财务脆弱的公司会通过提高价格来牺牲他们的客户基础，以稳定当前的收入和增强他们的流动性状况。因此，在严重的金融困难时期，尽管经济活动下降，出现了严重的资源利用不足，但通货膨胀率实际上可能会上升。通胀和产出在应对不利需求冲击时走向相反的可能性，也挑战了有关金融危机期间货币政策适当行动方向的传统思维。为了实证检验这一假设，该项目合并了公司级金融数据和根据劳工统计局(BLS)收集的机密价格数据计算的相应公司级通货膨胀率。初步结果表明，金融因素对2007-09年金融危机期间的通胀动态有显著影响。与假设一致的是，财务状况“较弱”的公司在2008年下半年提高了价格，而财务状况“较好”的公司则降低了价格，以应对总需求的下降。到目前为止，这一机制对总通胀动态的影响在很大程度上还没有被探索，这项研究提供了一些第一批系统的证据，说明金融状况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。由于这一渠道在数量上很重要，本项目中的分析直接关系到金融危机期间破坏性的大规模通货紧缩的可能性。它还对货币政策的行为具有重要的影响，因为它认为，政策制定者在决定名义利率的未来走向时，应该考虑企业平衡表质量变化与其定价行为之间的相互作用。除了开发将劳工统计局的研究人员数据库与外部公司级数据集联系起来的匹配算法外，该项目还基于GPS坐标提供了一种新的衡量当地银行信贷供应状况的方法，可能会与未来的劳工统计局研究结合使用，从而为金融状况和企业行为之间的空间互动开辟了一套全新的研究可能性。

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.