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Interindustry Linkages of Prices: Analysis of Japan's Deflation 价格的产业间联系:日本通货紧缩的分析
ERN: Inflation & Deflation (Topic) Pub Date : 2018-02-06 DOI: 10.2139/ssrn.3118735
Yuichi Kichikawa, H. Iyetomi, H. Aoyama, Y. Fujiwara, H. Yoshikawa
{"title":"Interindustry Linkages of Prices: Analysis of Japan's Deflation","authors":"Yuichi Kichikawa, H. Iyetomi, H. Aoyama, Y. Fujiwara, H. Yoshikawa","doi":"10.2139/ssrn.3118735","DOIUrl":"https://doi.org/10.2139/ssrn.3118735","url":null,"abstract":"Interactions of micro prices with leads and lags play significant role in explaining the behavior of aggregate price index. We present a new method of exploring the nature of such interactions of micro prices. For Japan's data, we identify two macro shocks, one external and the other domestic, to drive dynamics of prices, but find that irrespective of the sources of shocks, there exists robust flow of changes of domestic prices from upstream to downstream. Prices change in clusters. We identify such clusters. Our analysis suggests that inertia arising from input/output linkages in production explains the behavior of aggregate prices.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116666145","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Unexpected Inflation, Instability and Market Expectations 意外通胀、不稳定和市场预期
ERN: Inflation & Deflation (Topic) Pub Date : 2017-12-21 DOI: 10.2139/ssrn.3091710
P. Leoni
{"title":"Unexpected Inflation, Instability and Market Expectations","authors":"P. Leoni","doi":"10.2139/ssrn.3091710","DOIUrl":"https://doi.org/10.2139/ssrn.3091710","url":null,"abstract":"We give a theoretical foundation to Friedman's conjecture that unexpected high inflation levels trigger lasting periods of instability and high market expectations. In a standard monetary model, we introduce the notion of deviation-dependent strategies that allow for endogenous delay in market reactions and endogenous punishment length. We characterize the set of such strategies that are SPNE. We then show that, in every such equilibrium, the greater the deviation from expected inflation target, the longer the delay to punish, and the longer the punishment period with high market expectations.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121912810","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Phillips Curve Relationship in India: Evidence from State-Level Analysis 印度的菲利普斯曲线关系:来自邦级分析的证据
ERN: Inflation & Deflation (Topic) Pub Date : 2017-07-03 DOI: 10.2139/ssrn.3050414
Harendra Behera, Garima Wahi, Muneesh Kapur
{"title":"Phillips Curve Relationship in India: Evidence from State-Level Analysis","authors":"Harendra Behera, Garima Wahi, Muneesh Kapur","doi":"10.2139/ssrn.3050414","DOIUrl":"https://doi.org/10.2139/ssrn.3050414","url":null,"abstract":"This paper revisits the issue of determinants of inflation in India in a Phillips curve framework and makes two key contributions in relation to existing studies. First, in the context of the Reserve Bank moving towards a flexible inflation targeting framework based on consumer price index (CPI) inflation, this paper attempts to model dynamics of the CPI inflation. Second, this paper explores the Phillips curve relationship using sub-national data in a panel-approach. The estimates in this paper confirm the presence of a conventional Phillips curve specification, both for core inflation and headline inflation. Excess demand conditions have the expected hardening effect on inflation, with the impact being more on core inflation. Exchange rate movements are also found to have a significant impact on inflation. Overall, the paper’s findings provide support for the role of a counter cyclical monetary policy to stabilise inflation and inflation expectations.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"335 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116360651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
The Common and Specific Components of Inflation Expectation Across European Countries 欧洲国家通货膨胀预期的共同因素和特殊因素
ERN: Inflation & Deflation (Topic) Pub Date : 2017-06-01 DOI: 10.2139/ssrn.3694135
Shi Chen, W. Härdle, Weining Wang
{"title":"The Common and Specific Components of Inflation Expectation Across European Countries","authors":"Shi Chen, W. Härdle, Weining Wang","doi":"10.2139/ssrn.3694135","DOIUrl":"https://doi.org/10.2139/ssrn.3694135","url":null,"abstract":"Inflation expectation (IE) is often considered to be an important determinant of actual inflation in modern economic theory, we are interested in investigating the main risk factors that determine its dynamics. We first apply a joint arbitrage-free term structure model across different European countries to obtain estimate for country-specific IE. Then we use the two-component and three-component models to capture the main risk factors. We discover that the extracted common trend for IE is an important driver for each country of interest. Moreover a spatialtemporal copula model is fitted to account for the non-Gaussian dependency across countries. This paper aims to extract informative estimates for IE and provide good implications for monetary policies.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129485013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Missing Disinflation and Missing Inflation: The Puzzles that Aren't 错过反通货膨胀和错过通货膨胀:不存在的谜题
ERN: Inflation & Deflation (Topic) Pub Date : 2017-01-25 DOI: 10.2139/ssrn.2910914
Elena Bobeica, Marek Jarociński
{"title":"Missing Disinflation and Missing Inflation: The Puzzles that Aren't","authors":"Elena Bobeica, Marek Jarociński","doi":"10.2139/ssrn.2910914","DOIUrl":"https://doi.org/10.2139/ssrn.2910914","url":null,"abstract":"In the immediate wake of the Great Recession we didn't see the disinflation that most models predicted and, subsequently, we didn't see the inflation they predicted. We show that these puzzles disappear in a Vector Autoregressive model that properly accounts for domestic and global factors. Such a model reveals, among others, that domestic factors explain much of the inflation dynamics in the 2012-2014 euro area missing inflation episode. Consequently, economists and models that excessively focused on the global nature of inflation were liable to miss the contribution of deflationary domestic shocks during this episode. JEL Classification: E31, E32, F44","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134333854","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 38
Measuring Inflation 衡量通货膨胀
ERN: Inflation & Deflation (Topic) Pub Date : 2016-11-01 DOI: 10.1002/9781118977781.ch3
N. Patel, Agustín Villar
{"title":"Measuring Inflation","authors":"N. Patel, Agustín Villar","doi":"10.1002/9781118977781.ch3","DOIUrl":"https://doi.org/10.1002/9781118977781.ch3","url":null,"abstract":"This note focusses on key issues - both conceptual and practical - with regard to the measurement of inflation such as the tradeoff between different measures and the incorporation of prices not fully determined by market forces of supply and demand. It also draws on a recent survey of emerging market economy central banks conducted by the BIS to highlight specific issues faced by these economies and how the resulting inflation indices differ across countries. Full Publication: <a href='http://ssrn.com/abstract=2870167'>Inflation Mechanisms, Expectations and Monetary Policy</a>","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115102815","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Generalized Stability of Monetary Unions Under Regime Switching in Monetary and Fiscal Policies 货币与财政政策制度转换下货币联盟的广义稳定性
ERN: Inflation & Deflation (Topic) Pub Date : 2016-10-25 DOI: 10.2139/ssrn.2860072
Dennis Bonam, B. Hobijn
{"title":"Generalized Stability of Monetary Unions Under Regime Switching in Monetary and Fiscal Policies","authors":"Dennis Bonam, B. Hobijn","doi":"10.2139/ssrn.2860072","DOIUrl":"https://doi.org/10.2139/ssrn.2860072","url":null,"abstract":"Earlier studies on the equilibrium properties of standard dynamic macroeconomic models have shown that an inflation-targeting central bank imposes strict budgetary requirements on fiscal policy needed to obtain a unique and stable equilibrium. The failure of only one fiscal authority within a monetary union to meet these requirements already results in non-existence of equilibrium and an unstable monetary union. We show that such outcomes can be averted if fiscal authorities can make a credible commitment to switch to more sustainable fiscal regimes in the future. In addition, we illustrate how alternative policy measures, such as fiscal bailouts and debt monetization by the central bank, also broaden the range of policy stances under which monetary unions are stable.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134446138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Positive Trend Inflation and the Phillips Curve - A Tale of Two Slopes 正趋势通货膨胀和菲利普斯曲线——两个斜率的故事
ERN: Inflation & Deflation (Topic) Pub Date : 2016-10-01 DOI: 10.2139/ssrn.2888366
Katrin Heinrichs, H. Wagner
{"title":"Positive Trend Inflation and the Phillips Curve - A Tale of Two Slopes","authors":"Katrin Heinrichs, H. Wagner","doi":"10.2139/ssrn.2888366","DOIUrl":"https://doi.org/10.2139/ssrn.2888366","url":null,"abstract":"A small-scale New Keynesian model comes with considerable output losses from moderate positive steady-state inflation when the long-run output-inflation relationship is derived from the microeconomic equations. \u0000We analyse: \u00001. whether allowing for parameter change with trend inflation might move the New Keynesian model's long-run Phillips curve (LRPC) towards superneutrality and hence bring about a more moderate output impact of steady-state inflation and, \u00002. whether this same parameter change also turns the linearised short-run New Keynesian Phillips Curve (NKPC) into the empirically found direction across different trend inflation rates. \u0000We require the parameter change across trend inflation rates to be at least tentatively empirically justified. Two parameters meet our criteria: the usual suspect, the Calvo-parameter, and the intertemporal elasticity of substitution.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129063296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Elusive Costs of Inflation: Price Dispersion During the U.S. Great Inflation 通货膨胀的难以捉摸的成本:美国大通货膨胀期间的价格分散
ERN: Inflation & Deflation (Topic) Pub Date : 2016-08-01 DOI: 10.1093/QJE/QJY017
Emi Nakamura, J. Steinsson, Patrick Sun, Daniel Villar
{"title":"The Elusive Costs of Inflation: Price Dispersion During the U.S. Great Inflation","authors":"Emi Nakamura, J. Steinsson, Patrick Sun, Daniel Villar","doi":"10.1093/QJE/QJY017","DOIUrl":"https://doi.org/10.1093/QJE/QJY017","url":null,"abstract":"A key policy question is: How high an inflation rate should central banks target? This depends crucially on the costs of inflation. An important concern is that high inflation will lead to inefficient price dispersion. Workhorse New Keynesian models imply that this cost of inflation is very large. An increase in steady state inflation from 0% to 10% yields a welfare loss that is an order of magnitude greater than the welfare loss from business cycle fluctuations in output in these models. We assess this prediction empirically using a new dataset on price behavior during the Great Inflation of the late 1970's and early 1980's in the United States. If price dispersion increases rapidly with inflation, we should see the absolute size of price changes increasing with inflation: price changes should become larger as prices drift further from their optimal level at higher inflation rates. We find no evidence that the absolute size of price changes rose during the Great Inflation. This suggests that the standard New Keynesian analysis of the welfare costs of inflation is wrong and its implications for the optimal inflation rate need to be reassessed. We also find that (non-sale) prices have not become more flexible over the past 40 years.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131101045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 145
Deflation Risk in the Euro Area and Central Bank Credibility 欧元区通缩风险与央行公信力
ERN: Inflation & Deflation (Topic) Pub Date : 2016-04-05 DOI: 10.2139/ssrn.2759266
G. Galati, Zion Gorgi, R. Moessner, Chen Zhou
{"title":"Deflation Risk in the Euro Area and Central Bank Credibility","authors":"G. Galati, Zion Gorgi, R. Moessner, Chen Zhou","doi":"10.2139/ssrn.2759266","DOIUrl":"https://doi.org/10.2139/ssrn.2759266","url":null,"abstract":"This paper investigates how the perceived risk that the euro area will experience deflation has evolved over time, and what this risk implies for the credibility of the ECB. We use a novel data set on market participants’ perceptions of short- to long-term deflation risk implied by year-on-year options on forward inflation swaps. We investigate whether long-term inflation expectations have become de-anchored, by studying whether long-term deflation risk has been affected by changes in oil prices and by short-term deflation risk. Our analysis suggests that the anchoring properties of euro area inflation expectations have weakened, albeit in a still subtle way.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114634326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
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