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Firm-Level Input Price Changes and Their Effects: A Deep Learning Approach

Author

Listed:
  • Sudheer Chava
  • Wendi Du

  • Indrajit Mitra
  • Agam Shah

  • Linghang Zeng

Abstract

We develop firm-level measures of input and output price changes using textual analysis of earnings calls. We establish five facts: (1) Input prices increase (decrease) at the median firm once every seven (30) months. (2) Input price changes contain an equal blend of aggregate and firm-specific components. (3) A firm's stock price experiences a –1.15 percent return when our input price change measure is in the top tercile of price increases. (4) Our input price change measure predicts future changes in the cost of goods sold. (5) Firms pass through input price changes to output prices in the same quarter with a magnitude of 0.7.

Suggested Citation

  • Sudheer Chava & Wendi Du & Indrajit Mitra & Agam Shah & Linghang Zeng, 2025. "Firm-Level Input Price Changes and Their Effects: A Deep Learning Approach," FRB Atlanta Working Paper 2025-7, Federal Reserve Bank of Atlanta.
    • Handle: RePEc:fip:fedawp:101518
    DOI: 10.29338/wp2025-07
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms

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