Micro price adjustments and macro inflation dynamics:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2009
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 165 S. graph. Darst. |
Internformat
MARC
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| 245 | 1 | 0 | |a Micro price adjustments and macro inflation dynamics |c by Sarah Lein |
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| 502 | |a Zürich, Univ., Diss., 2009 | ||
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Datensatz im Suchindex
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| adam_text | Titel: Micro price adjustments and macro inflation dynamics
Autor: Lein-Rupprecht, Sarah M.
Jahr: 2009
Contents
1 Introduction 1
2 When do Firms Adjust Prices? Evidence from Micro Panel Data 7
2.1 Introduction.................................. 7
2.2 Related Literature .............................. 11
2.3 Data...................................... 15
2.4 Specification of the Model.......................... 21
2.4.1 Time- and State Dependence and the Influence of Macroeconomic
Developments............................. 22
2.4.2 The Role of Predetermined Price Changes............. 26
2.4.3 Econometric Estimation with Unobserved Heterogeneity and State
Dependence.............................. 28
2.5 Results..................................... 30
2.5.1 Time- versus State Dependence................... 31
2.-5.2 Influences of Macroeconomic Developments............. 34
2.5.3 The Role of Predetermined Price Changes............. 35
2.6 Conclusions.................................. 37
2.7 Appendix................................... 39
3 Capacity Utilisation, Constraints and Price Adjustments under the
Microscope 51
3.1 Introduction.................................. 51
3.2 Related Literature.............................. 55
iii
57
3.3 The Model...................................
58
3.3.1 Final Goods Producers........................
3.3.2 Intermediate Inputs Sector......................
fil
3.3.3 The PhiUips Curve..........................
63
3.4 Data and Methodology............................
3.4.1 Data.................................. 63
3.4.2 Methodology ............................. 70
79
3.5 Results...................................... li
3.6 Conclusions.................................. aa
OK
3.7 Appendix...................................
4 The NAICU and the New Keynesian Phillips Curve 95
4.1 Introduction.................................. 9j
4.2 Data Description............................... J
4.3 The NAICU Based on Micro Data......................101
4.4 Phillips Curve Estimates...........................1°*
4.4.1 Theoretical Framework........................-1-
4.4.2 Estimation and Results........................-5-0
4.5 Conclusions.......,..........................*-
4.6 Appendix...................................^2
5 Media Reports and Inflation Expectations H
5.1 Introduction..................................H3
5.2 Hypotheses..................................H7
5.3 Data and Estimation.............................H9
5.3.1 Media Data,..............................119
5.3.2 Inflation Expectation Data......................I 22
5.3.3 Estimation...............................130
5.4 Results......................................133
5.4.1 Robustness..............................139
5.5 Conclusions..................................143
iv
5.6 Appendix...................................145
6 Conclusions 147
References 153
List of Figures
2.1 Fraction of price increases and price decreases over time.......... 17
2.2 Fraction of expected and unexpected increases over time......... 18
2.3 Fraction of expected and unexpected decreases over time......... 19
2.4 Fraction of expected increases in prices and PPI and CPI inflation .... 20
2.5 Fraction of unexpected increases in prices and PPI and CPI inflation . . 21
3.1 A convex Phillips curve under the capacity constraint hypothesis.....56
3.2 A convex-concave Phillips curve under the capacity constraint hypothesis
with demand constraints............................ 57
3.3 Discrete distribution of average capacity utilisation rates across firms over
time....................................... 65
3.4 Discrete distribution of utilisation rates under technical capacity con-
straints..................................... 66
3.5 Discrete distribution of utilisation rates under capacity constraints due
to shortage of labour.............................. 66
3.6 Discrete distribution of utilisation rates under demand constraints..... 67
3.7 Percentage share of price increases and decreases in the previous quarter
over time.................................... 69
3.8 Percentage share of expected price increases and decreases in the forth-
coming quarter over time........................... 69
3.9 Marginal effects of the interaction term Gap+ and TeehnicalCapconMraint 89
3.10 Consistent, z-statistic of marginal effect of the interaction term Gap+ and
TechniealGapeonsimint............................ 89
vii
3.11 Marginal effects of the interaction term Gap+ and LabourCapconstmint . 90
3.12 Consistent ^statistic of marginal effect of the interaction term Gap+ and
LabowCapconsiraini..........................? ? ¦
3.13 Marginal effects of the interaction term Gap+ and TeehnicalGapconstmint 91
3.14 Consistent z-statistie of marginal effect of the interaction term Gap* and
TeehnicalGapconstmint............................ ?
3.15 Marginal effects of the interaction term Gap+ and LabowCapconstraint . 92
3.16 Consistent z-statistic of marginal effect of the interaction term Gap+ and
LabowGapconstraini............................. 2
3.17 Marginal effects of the interaction term Gap and DemandCowtraint . ¦ 93
3.18 Consistent z-statistic of marginal effect of the interaction term Gaf and
DemandConstraint.............................. 93
3.19 Marginal effects of the interaction term Gap~ and DemandConstraint . . 94
3.20 Consistent z-statistk of marginal effect of the interaction term Gap~ and
DeinandGonstraint.............................. 94
4.1 Distribution of capacity utilisation rates across firms in 2007Q1 ..... 99
4.2 Distribution of capacity utilisation rates across firms that did not change
prices hi the current quarter and do not expect to change prices in the
upcoming quarter in 2007Q1......................... 99
4.3 Capacity utilisation rates.........,.................103
5.1 Inflation, and inflation expectations......................124
5.2 Inflation expectations: consumers vs. economists..............125
5.3 News volume and inflation..........................126
5.4 News tone...................................127
5.5 News content and inflation..........................128
5.6 Number of articles containing Teuro and Euro cash changeover ... 129
5.7 Teuro and euro cash changeover vs. gap expected irritation........130
5.8 VAR - response to Volume..........................141
5.9 VAR, - response to Tow..................r _.....142
viii
List of Tables
2.1 Four models of price setting behaviour................... 12
2.2 Data description ............................... 39
2.3 Descriptive statistics............................. 40
2.4 Coefficient estimates for different estimation methods........... 41
2.5 Change in selling price............................ 42
2.6 Increase in selling price............................ 43
2.7 Decrease in selling price ........................... 44
2.8 Expected change in selling price....................... 45
2.9 Expected increase in selling price...................... 46
2.10 Expected decrease in selling price...................... 47
2.11 Unexpected change in selling price...................... 48
2.12 Unexpected increase in selling price..................... 49
2.13 Unexpected decrease in selling price..................... 50
3.1 Current price increases............................ 75
3.2 Expect price increase............................. 78
3.3 Current price decrease............................ 80
3.4 Expect price decrease............................. 82
3.5 Data description ............................... 87
3.6 Summary statistics estimation sample.................... 87
3.7 Tetrachoric correlations............................ 88
4.1 GMM parameter estimates, 1985Q1-2007Q2................ 108
4.2 OLS parameter estimates. 1990Q1-2Q07Q2................. 110
ix
4.3 Summary statistics.............................. 112
5.1 Accuracy of inflation expectations...................... 123
5.2 Main results.................................. 135
5.3 Further results................................ 137
5.4 Granger causality volume........................... 140
5.5 Granger causality tone............................ 140
5.6 Summary statistics.............................. 145
5.7 Lag selection criteria VAR.......................... 146
|
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| spelling | Lein, Sarah 1979- Verfasser (DE-588)13884481X aut Micro price adjustments and macro inflation dynamics by Sarah Lein 2009 X, 165 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zürich, Univ., Diss., 2009 Inflation (DE-588)4026887-1 gnd rswk-swf Unternehmen (DE-588)4061963-1 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Preisbildung (DE-588)4047103-2 s Unternehmen (DE-588)4061963-1 s Inflation (DE-588)4026887-1 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018732765&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lein, Sarah 1979- Micro price adjustments and macro inflation dynamics Inflation (DE-588)4026887-1 gnd Unternehmen (DE-588)4061963-1 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4026887-1 (DE-588)4061963-1 (DE-588)4047103-2 (DE-588)4113937-9 |
| title | Micro price adjustments and macro inflation dynamics |
| title_auth | Micro price adjustments and macro inflation dynamics |
| title_exact_search | Micro price adjustments and macro inflation dynamics |
| title_full | Micro price adjustments and macro inflation dynamics by Sarah Lein |
| title_fullStr | Micro price adjustments and macro inflation dynamics by Sarah Lein |
| title_full_unstemmed | Micro price adjustments and macro inflation dynamics by Sarah Lein |
| title_short | Micro price adjustments and macro inflation dynamics |
| title_sort | micro price adjustments and macro inflation dynamics |
| topic | Inflation (DE-588)4026887-1 gnd Unternehmen (DE-588)4061963-1 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | Inflation Unternehmen Preisbildung Hochschulschrift |
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