IDEAS home Printed from https://ideas.repec.org/a/ime/imemes/v10y1992i1p95-109.html
   My bibliography  Save this article

Dynamic Equilibrium Price Index: Asset Price and Inflation

Author

Listed:
  • Hiroshi Shibuya

    (Economist, International Monetary Fund, U.S.A.)

Abstract

The purpose of this paper is to develop the theory of dynamic equilibrium price index (DEPI), and to discuss its theoretical as well as policy implications. DEPI is derived from intertemporal optimization and arbitrage equilibrium condition as a weighted geometric mean of product price inflation and asset price inflation. DEPI measures a change in ex ante intertemporal cost of living, which is a more fundamental indicator of inflation and the dynamic state of macroeconomy than conventional price indexes. Thus, DEPI functions as an important information variable for monetary policy.

Suggested Citation

  • Hiroshi Shibuya, 1992. "Dynamic Equilibrium Price Index: Asset Price and Inflation," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 10(1), pages 95-109, February.
    • Handle: RePEc:ime:imemes:v:10:y:1992:i:1:p:95-109
    as

    Download full text from publisher

    File URL: http://www.imes.boj.or.jp/research/papers/english/me10-1-6.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gilchrist, Simon & Leahy, John V., 2002. "Monetary policy and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 75-97, January.
    2. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany.
    3. Huang Yiping & Wang Xun & Hua Xiuping, 2010. "What Determine China’s Inflation?," Macroeconomics Working Papers 22770, East Asian Bureau of Economic Research.
    4. Shuhei Aoki & Minoru Kitahara, 2010. "Measuring a Dynamic Price Index Using Consumption Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(5), pages 959-964, August.
    5. Kazumasa Iwata, 2007. "Housing and monetary policy in Japan," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 445-461.
    6. Michael F. Bryan & Stephen G. Cecchetti & Roisin O'Sullivan, 2002. "Asset Prices in the Measurement of Inflation," NBER Working Papers 8700, National Bureau of Economic Research, Inc.
    7. Mark A. Wynne & Diego Rodriguez‐Palenzuela, 2004. "Measurement Bias in the HICP: What do we know and What do we need to know?," Journal of Economic Surveys, Wiley Blackwell, vol. 18(1), pages 79-112, February.
    8. Ricardo Reis, 2005. "A Dynamic Measure of Inflation," NBER Working Papers 11746, National Bureau of Economic Research, Inc.
    9. Antoine Ngakosso, 2016. "Monetary Policy and Financial Stability: A CEMAC Zone Case Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 244-244, July.
    10. Weida Kuang & Peng Liu, 2015. "Inflation and House Prices: Theory and Evidence from 35 Major Cities in China," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 217-240.
    11. Fernando Alexandre & Pedro Bação, 2002. "Equitity prices and Monetary Policy: An Overview with an Exploratory Model," NIPE Working Papers 1/2002, NIPE - Universidade do Minho.
    12. Charles A. E. Goodhart & Jose Vinals, 1994. "Strategy an tactics of monetary policy: examples from Europe and the Antipodes," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 38, pages 139-194.
    13. Koichi Hamada, 1995. "Behind the US/Japan Trade Conflict," The World Economy, Wiley Blackwell, vol. 18(2), pages 269-294, March.
    14. Anari, Ali & Kolari, James, 2019. "The Fisher puzzle, real rate anomaly, and Wicksell effect," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 128-148.
    15. Andrew J. Filardo, 2000. "Monetary policy and asset prices," Economic Review, Federal Reserve Bank of Kansas City, vol. 85(Q III), pages 11-37.
    16. Ivan Sutoris, 2020. "The Intertemporal Cost of Living and Dynamic Inflation: The Case of the Czech Republic," Working Papers 2020/9, Czech National Bank.
    17. Reis, Ricardo, 2005. "A cost-of-living dynamic price index, with an application to indexing retirement accounts," CEPR Discussion Papers 5394, C.E.P.R. Discussion Papers.
    18. Duoguang Bei & Xiaoli Zhu, 2008. "A new monetary phenomenon: An analysis of the co-existence of the external appreciation and the domestic inflation of RMB," Psychometrika, Springer;The Psychometric Society, vol. 3(3), pages 327-355, September.
    19. Tödter, Karl-Heinz & Ziebarth, Gerhard, 2018. "Zinsen, Effektivpreise und Lebenskosten: Ein Beitrag zur Konstruktion eines intertemporalen Preisindex," IMFS Working Paper Series 123, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    20. Yusuke Takahashi & Yoichiro Tamanyu, 2022. "Households' Perceived Inflation and CPI Inflation: the Case of Japan," Bank of Japan Working Paper Series 22-E-1, Bank of Japan.
    21. Goodhart, Charles & Hofmann, Boris, 2000. "Financial Variables and the Conduct of Monetary Policy," Working Paper Series 112, Sveriges Riksbank (Central Bank of Sweden).
    22. Gerhard Rösl & Karl-Heinz Tödter, 2015. "Zins- und Wohlfahrtseffekte extremer Niedrigzinspolitik für die Sparer in Deutschland," ROME Working Papers 201501, ROME Network.
    23. Gerhard R?sl & Karl-Heinz T?dter, 2015. "The Costs and Welfare Effects of ECB's Financial Repression Policy: Consequences for German Savers," Review of Economics & Finance, Better Advances Press, Canada, vol. 5, pages 42-59, November.
    24. Tödter Karl-Heinz & Ziebarth Gerhard, 2021. "Lifetime Cost of Living and Effective Prices: Theory and Evidence for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(1), pages 29-69, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ime:imemes:v:10:y:1992:i:1:p:95-109. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kinken (email available below). General contact details of provider: https://edirc.repec.org/data/imegvjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.