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価格の実質硬直性―計測手法と応用例―, Real Price Rigidities -Measuring Method and Application-

Author

Listed:
  • Mizuno, Takayuki
  • Watanabe, Tsutomu
  • Saito, Yukiko

Abstract

In this paper, we propose a new method to measure the price stickiness caused by strategic complementarities in price setting behavior using the autocorrelation coefficient. Then we apply this method to the online marketplace data. Since Bils and Klenow's (2004) seminal study, the frequency of price adjustment or the average price duration have been intensively examined to measure price stickiness. While the average price duration is 1.9 days, the autocorrelation coefficient shows 6 days' path-dependency for the sample data of a liquid crystal television. This means that retailers change prices three times to complete a price adjustment. The size of price changes is lowered by the strategic complementarities, which requires a longer price adjustment time. In previous papers, price stickiness might have been underestimated due to disregarding the path-dependency of price adjustment., 本稿では，各企業が互いの価格設定行動を模倣することに伴って生じる価格の粘着性を自己相関係数により計測する方法を提案するとともに，オンライン市場のデータを用いてその度合いを計測する．Bils and Klenow (2004)以降の研究では，価格改定から次の価格改定までの経過時間の平均値をもって価格粘着性の推計値としてきたが，本稿で分析対象とした液晶テレビではその値は1.9日である．これに対して自己相関係数を用いた計測によれば，価格改定イベントは最大6日間の過去依存性をもつ．つまり，価格調整の完了までに各店舗は平均3回の改定を行っている．店舗間の模倣行動の結果，1回あたりの価格改定幅が小さくなり，そのため価格調整の完了に要する時間が長くなっていると考えられる．これまでの研究は，価格改定イベントの過去依存性を無視してきたため，価格粘着性を過小評価していた可能性がある．

Suggested Citation

  • Mizuno, Takayuki & Watanabe, Tsutomu & Saito, Yukiko, 2010. "価格の実質硬直性―計測手法と応用例―, Real Price Rigidities -Measuring Method and Application-," Economic Review, Hitotsubashi University, vol. 61(1), pages 68-81, January.
    • Handle: RePEc:hit:ecorev:v:61:y:2010:i:1:p:68-81
    DOI: 10.15057/21450
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    More about this item

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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