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Micro and macro price dynamics in daily data

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Author Info

  • Abe, Naohito
  • Tonogi, Akiyuki

Abstract

Using Japanese daily scanner data with three billion observations of prices and quantities from 1988 to 2005, this paper investigates micro and macro price dynamics. These data reveal that the frequency of price changes is much larger than that found in standard monthly datasets. The price change frequency exhibits a clear trend and strong across-store heterogeneity, which casts doubts on standard New Keynesian assumptions. The Consumer Price Index (CPI) based on scanner data appears to track the official CPI relatively well, except for a period in which the latter arguably had an upward bias.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 57 (2010)
Issue (Month): 6 (September)
Pages: 716-728

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Handle: RePEc:eee:moneco:v:57:y:2010:i:6:p:716-728

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Web page: http://www.elsevier.com/locate/inca/505566

Related research

Keywords: Price stickiness Scanner data CPI;

References

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  1. Mark Bils & Peter J. Klenow, 2004. "Some Evidence on the Importance of Sticky Prices," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 947-985, October.
  2. Mikhail Golosov & Robert E. Lucas Jr., 2007. "Menu Costs and Phillips Curves," Journal of Political Economy, University of Chicago Press, vol. 115, pages 171-199.
  3. Shigenori Shiratsuka, 1999. "Measurement errors in Japanese Consumer Price Index," Working Paper Series WP-99-2, Federal Reserve Bank of Chicago.
  4. Emmanuel Dhyne & Luis J. Álvarez & Hervé Le Bihan & Giovanni Veronese & Daniel Dias & Johannes Hoffmann & Nicole Jonker & Patrick Lünnemann & Fabio Rumler & Jouko Vilmunen, 2005. "Price setting in the euro area: Some stylized facts from Individual Consumer Price Data," Working Paper Research 74, National Bank of Belgium.
  5. repec:nbr:nberre:0126 is not listed on IDEAS
  6. Ellis, Colin, 2009. "Do supermarket prices change from week to week?," Bank of England working papers 378, Bank of England.
  7. Patrick J. Kehoe & Virgiliu Midrigan, 2007. "Sales and the real effects of monetary policy," Working Papers 652, Federal Reserve Bank of Minneapolis.
  8. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  9. Caplin, Andrew S & Spulber, Daniel F, 1987. "Menu Costs and the Neutrality of Money," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 703-25, November.
  10. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  11. Emi Nakamura & Jón Steinsson, 2008. "Five Facts about Prices: A Reevaluation of Menu Cost Models," The Quarterly Journal of Economics, MIT Press, vol. 123(4), pages 1415-1464, November.
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Citations

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Cited by:
  1. Nao Sudo & Kozo Ueda & Kota Watanabe, 2013. "Micro Price Dynamics during Japan's Lost Decades," CAMA Working Papers 2013-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Jessie Handbury & Tsutomu Watanabe & David E. Weinstein, 2013. "How Much Do Official Price Indexes Tell Us About Inflation?," CARF F-Series CARF-F-328, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Ahrens, Steffen & Sacht, Stephen, 2011. "Estimating a high-frequency New Keynesian Phillips curve," Economics Working Papers 2011,08, Christian-Albrechts-University of Kiel, Department of Economics.
  4. Steffen Ahrens & Matthias Hartmann, 2014. "State-dependence vs. Time-dependence: An Empirical Multi-Country Investigation of Price Sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy.
  5. Matsuoka, Takayasu, 2012. "Retail Price Stickiness, Market Structure and Distribution Channels," Research Center for Price Dynamics Working Paper Series 4, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University.
  6. Chakraborty, Ratula & Dobson, Paul & Seaton, Jonathan S. & Waterson, Michael, 2011. "Pricing in inflationary times- the penny drops," The Warwick Economics Research Paper Series (TWERPS) 975, University of Warwick, Department of Economics.
  7. Marcelo Delajara & José Antonio Murillo Garza, 2012. "Weekday with Low Prices: Evidence on Daily Seasonality of Foods, Beverages, and Tobacco Prices," Working Papers 2012-09, Banco de México.
  8. Tonogi, Akiyuki, 2013. "The Relation between Inventory Investment and Price Dynamics in a Distributive Firm," Research Center for Price Dynamics Working Paper Series 8, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University.
  9. Kota Watanabe & Tsutomu Watanabe, 2014. "We construct a Törnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.," CARF F-Series CARF-F-342, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  10. Luminita Stevens, 2011. "Pricing Regimes in Disaggregated Data," 2011 Meeting Papers 1389, Society for Economic Dynamics.
  11. Abe, Naohito & Moriguchi, Chiaki & Inakura, Noriko, 2014. "The Impact of the Great East Japan Earthquake on Commodity Prices: New Evidence from High-Frequency Scanner Data," Research Center for Price Dynamics Working Paper Series 12, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University.

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