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Thai inflation dynamics: A view from disaggregated price data

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  • Apaitan, Tosapol
  • Disyatat, Piti
  • Manopimoke, Pym

Abstract

This paper utilizes disaggregated prices at the micro level to examine the patterns of price adjustment in Thailand. Among the key stylized facts, we found that the frequency of price changes are generally low, prices decreases are common, the size of price changes are large relative to the inflation rate, and there is significant dispersion in price levels as well as in the synchronicity of price changes across regions. To better understand the underlying sources of heterogeneous price dynamics, we conduct dynamic factor analyses and highlight the importance of relative price changes in driving the bulk of overall CPI movements. This suggests an important role of non-monetary factors in driving inflation. A significant Phillips curve relation is detected once idiosyncratic price changes are filtered out, reinforcing the importance of disaggregated analysis of price trends in the conduct of monetary policy.

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  • Apaitan, Tosapol & Disyatat, Piti & Manopimoke, Pym, 2020. "Thai inflation dynamics: A view from disaggregated price data," Economic Modelling, Elsevier, vol. 84(C), pages 117-134.
    • Handle: RePEc:eee:ecmode:v:84:y:2020:i:c:p:117-134
    DOI: 10.1016/j.econmod.2019.03.013
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    Cited by:

    1. Nuwat Nookhwun & Pym Manopimoke, 2023. "Disaggregated Inflation Dynamics in Thailand: Which Shocks Matter?," PIER Discussion Papers 211, Puey Ungphakorn Institute for Economic Research.

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    More about this item

    Keywords

    Factor model; Inflation; Price rigidity; Price setting; Relative prices; Phillips curve;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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