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大規模posデータの実証分析とフィリップス曲線への含意

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  • 外木, 暁幸

Abstract

1990年代半ばから2000年代半ばにかけて、日本ではフィリップス曲線のフラット化と価格改定頻度の上昇が同時に観察された.ニュー・ケインジアン・モデルでは価格改定確率の上昇はフィリップス曲線のスティープ化を意味するため,観察結果とは矛盾する.この時期のフィリップス曲線のフラット化は,Lucas(1972)の不完全情報モデルの意味で、独自ショックの増大によって起こったのではないかというのが本稿の問題意識であり,小売店で販売されている個別財価格の変動をマクロ・ショックと個別ショックに分解し,その分散寄与率の動きを検討した.データは店舗別、商品コード別に販売価格と数量を全国の小売店で記録した日経POS データを使用した.実証分析の結果,フィリップス曲線のフラット化が進行した時期に,小売価格の独自ショックの影響が相対的に増大したことが明らかとなった.これはLucas(1972)の不完全情報モデルの含意と整合的である.

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File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/23089/1/ifd_wp006.pdf
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Bibliographic Info

Paper provided by Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University in its series Research Center for Price Dynamics Working Paper Series with number 6.

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Length: 29p
Date of creation: Jun 2012
Date of revision:
Handle: RePEc:hit:rcpdwp:6

Note: First draft: May 8, 2009; This version: June 12, 2012.
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Keywords: POS データ; フィリップス曲線; パネルデータ分析; 近似的因子モデル;

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