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Micro and macro price dynamics in daily data

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  • 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. 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.
  2. Judith A. Chevalier & Anil K. Kashyap & Peter E. Rossi, 2003. "Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data," American Economic Review, American Economic Association, vol. 93(1), pages 15-37, March.
  3. Mark Bils & Peter J. Klenow, 2002. "Some Evidence on the Importance of Sticky Prices," NBER Working Papers 9069, National Bureau of Economic Research, Inc.
  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. 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.
  6. Patrick J. Kehoe & Virgiliu Midrigan, 2007. "Sales and the real effects of monetary policy," Working Papers 652, Federal Reserve Bank of Minneapolis.
  7. Shigenori Shiratsuka, 1999. "Measurement errors in Japanese Consumer Price Index," Working Paper Series WP-99-2, Federal Reserve Bank of Chicago.
  8. Ellis, Colin, 2009. "Do supermarket prices change from week to week?," Bank of England working papers 378, Bank of England.
  9. Robert Lucas & Mike Golosov, 2004. "Menu Costs and Phillips Curves," 2004 Meeting Papers 144, Society for Economic Dynamics.
  10. repec:nbr:nberre:0126 is not listed on IDEAS
  11. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  12. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
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Citations

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Cited by:
  1. Luminita Stevens, 2011. "Pricing Regimes in Disaggregated Data," 2011 Meeting Papers 1389, Society for Economic Dynamics.
  2. 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.
  3. 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.
  4. Sudo, Nao & Ueda, Kozo & Watanabe, Kota, 2013. "Micro price dynamics during Japan's lost decades," Globalization and Monetary Policy Institute Working Paper 159, Federal Reserve Bank of Dallas.
  5. Tsutomu Watanabe & David Weinstein & Jessie Handbury, 2014. "How Much Do Official Price Indexes Tell Us About Inflation?," 2014 Meeting Papers 73, Society for Economic Dynamics.
  6. 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.
  7. 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.
  8. Akiyuki Tonogi, 2013. "The Relation between Inventory Investment and Price Dynamics in a Distributive Firm," UTokyo Price Project Working Paper Series 010, University of Tokyo, Graduate School of Economics.
  9. 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.
  10. 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.
  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.
  12. 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.

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