国际清算银行-亚太通货膨胀动态.docx

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1、BAN K FO R I NTERN ATI0 N ALSETTLE ENTSBIS PapersNo 111Inflation dynamics in Asia and the PacificMonetary and Economic DepartmentMarch 2020ReferencesAmiti, M, O Itskhoki and J Konings (2019): international shocks, variable markups, and domestic prices”, The Review of Economic Studies, vol 86, no 6,

2、November, pp 356-402.Bachmann, R, B Born, S Elstner and C Grimme (2019): “Time-varying business volatility and the price setting of firms”, Journal of Monetary Economics, vol 101, January, pp 82-99.Bachmann, Rz S Elstner and E Sims (2013): /z Un certainty and economic activity: evidence from busines

3、s survey data”, American Economic Journal: Macroeconomics, vol 5, no 2Z April, pp 217-49.Ball, L, and N G Mankiw (1994): Asymmetric price adjustment and economicfluctuations The Economic Journal, vol 104z no 423z pp.247-261.Blanchard, O, E Cerutti and L Summers (2015): Inflation and activity - two e

4、xplorations and their monetary policy implications71, NBER Working Paper Series, no 21726, November.Boneva, L, J Cloyne, M Weale and T Wieladek (2016): Firms expectations and pricesetting: evidence from micro data”, Bank of England External MPC Unit Discussion Paper, no 48, AugustDossche, M, F Heyle

5、n and D Van den Poel (2010): The kinked demand curve and price rigidity: evidence from scanner data”, Scandinavian Journal of Economics, vol 112, no 4, December, pp 723-52.Dotsey, M and R King (2005): Implications of state-dependent pricing for dynamic macroeconomic models”, Journal of Monetary Econ

6、omics, vol 52, no 1, January, pp 213-42.Honore, B, D Kaufmann and S Lein (2012): Asymmetries in price-setting behaviour: new microeconometric evidence from Switzerland”, Journal of Money, Credit and Banking, vol 44, no s2, December, pp 211-36.International Monetary Fund (2013): The dog that didnt ba

7、rk: has inflation been muzzled or was it just sleeping?, World Economic Outlook, April.Kimball, M (1995): The quantitative analytics of the basic neomonetarist model”, Journal of Money, Credit and Banking, vol 27z no 4Z pp 1241-77.Klenow, P and B Malin (2010): Microeconomic evidence on price-setting

8、 in B Friedland and M Woodford (eds), Handbook of Monetary Economics, vol 3, pp 231 -84, Elsevier.Klenow, P and O Kryvtsov (2008): State-dependent or time-dependent pricing: Does it matter for recent US inflation? The Quarterly Journal of Economics, vol 123, no 3, pp 863-904.Klenow, P and J Willis (

9、2016): Real rigidities and nominal price changes”, Econo mica, vol 83, no 331z July, pp 443-72.Kogaz M and H Kato (2017): Behavioural biases in firms growth expectations, Bank of Japan Working Paper Series, no 17-E-9, July.Koga, M, K Yoshino and T Sakata (2019): Strategic complementarity and asymmet

10、ric price setting among firms”, Bank of Japan Working Paper Series, no 19-E-5, March.Kurozumi, T and W Van Zandweghe (2018): Variable elasticity demand and inflation persistence7, Federal Reserve Bank of Kansas City Research Working Paper, no 16-09, April.Lein, S (2010): When do firms adjust prices?

11、 Evidence from micro panel data, Journal of Monetary Economics, vol 57, no 6Z September, pp 696-715.Levin, Az D L6pez-Salidoz E Nelson and T Yun (2008): Z/Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy”, Journal of Monetary Economics, vol 55, Supplement, Oc

12、tober, pp S48-S62.Loupias, C and P Sevestre (2013): Costs, demand, and producer price changes”, The Review of Economics and Statistics, vol 95, no 1, March, pp 315-27.Morikawa, M (2016): Business uncertainty and investment: evidence from Japanese companies Journal of Macroeconomics, vol 49z Septembe

13、r, pp 224-36.Nakamura, E and J Steinsson (2008): Five facts about prices: a re-evaluation of menu cost models”, The Quarterly Journal of Economics, vol 123, no 4, November, pp 1415-64.Peltzman, S (2000): Prices rise faster than they fall Journal of Political Economy, vol 108z no 3, June, pp 466-502.

14、Shirota, T (2015): Flattening of the Phillips curve under low trend inflation, Economics Letters, vol 132, July, pp 87-90.Tanaka, Mz N Bloom, J David and M Koga (2019): Firm performance and macro forecast accuracy”, Journal of Monetary Economics, forthcoming.Woodford, M (2011): Interest and prices:

15、foundations of a theory of monetary policy, Princeton University Press.Wooldridge, J (2011): A simple method for estimating unconditional heterogeneity distributions in correlated random effects models”, Economics Letters, vol 113, no 1, October, pp 12-15.Comments on Strategic complementarity and as

16、ymmetric price setting among firms”Martin Berka Professor and Head of School of Economics and Finance, Massey University, New Zealand; Asian Bureau of Finance and Economic Research.Martin Berka Professor and Head of School of Economics and Finance, Massey University, New Zealand; Asian Bureau of Fin

17、ance and Economic Research.Summary of the paperKoga et al (2019) is an interesting, well written and timely paper based on data from quarterly Tankan surveys covering around 10,000 firms in Japan between 2004 and 2017. Although the paper contains a number of secondary findings, there are five key fi

18、ndings. First, firms1 pricing decisions exhibit strategic complementarity, in that they are affected by the pricing decisions of competitor firms. Second, this complementarity is asymmetrically stronger when prices decline, a finding the authors attribute to the existence of kinked demand. Third, hi

19、gher inflation expectations raise the likelihood of any given firm raising its own price. Fourth, firms with a larger market share exhibit much less sensitivity to competitors price changes. And finally, firms that report a higher degree of uncertainty delay price changes, an evidence of “wait and s

20、ee“ behaviour. The overall contribution here is one of more details on the state-dependent nature of price changes.In their well written paper with a thorough literature review, the authors work hard to link the empirical estimations to the theoretical model in Dotsey and King (2005), in which a fir

21、ms price relative to the overall price level depends on a number of characteristics of the market environment. Koga et al (2019) further log-linearise the pricing equation of Dotsey and King (2005). Although this is not a structural equation in the sense of mapping prices to some fundamental drivers

22、 (instead, the prices depend on costs, labour costs, local demand, and the prices of competitors), Koga et al (2019) use it to derive their empirical model to bring to the data. Because the prices are not observed in the Tankan survey, the authors use a limited dependent model (ordered probit).Comme

23、ntsIn my discussion of the paper, I elaborated on a number of comments. I think the key comment is that the evidence of the asymmetry uncovered in the empirical results of Koga et al (2019) does not need be driven by a kinked demand curve. The authors may want to think more broadly, and in any case

24、beyond the model of Dotsey and King (2005), when trying to interpret their results. But given that the equation is not a structural demand equation, it may just as well be that the kink to which the authors attribute the asymmetry is on the supply rather than the demand side. However, the point I wa

25、nt to make here is even broader. The economic literature on the economics of price adjustment is indeed very large, and there will be a number of models that could possibly support their empirical findings. For example, Diamond (1971) presents a theoretical framework of price adjustment to a long-ru

26、n, noncompetitive equilibrium. In the model, firms exhibit different market shares, and their pricing decisions depend on both short-term profits and longer-term market share considerations. Each firm j maximisesw懒偏力切的觌，tt tt tt u tt+iwhere a力 is the market share of firm j at time t, H。岭s the demand

27、 for firm js utt uproduct, and W3 a the value of future profits, dependent on the future expected market shares of firm j. Even with such a simple introduction, it seems possible that the Diamond (1971) model may bear out a number of the empirical regularities discussed in Koga et al (2019). First,

28、if competitors/ prices change, Diamonds firm will worry about losing its market share and follow suit. Because this threat is present when prices decline rather than increase, the co-movement should be asymmetrically stronger for the cases of price declines. Second, it is easy to think of a reason w

29、hy firms worry about market shares less when they are larger.2 Thus, while I am not formally evaluating the fit of Diamonds 1971 model to Koga et als data, it seems that the model could capture their first, second and fourth results, without invoking a kinked demand scenario. I think it is likely th

30、ere are many other models the authors could allude to with similar or better success“ in explaining their findings. It would be a welcome contribution if they discussed a wider family of possible theoretical interpretations of their empirical findings.Additionally, the paper would benefit from clari

31、fying a number of issues. It would help to understand why a survey of 220,000 firms is distilled to a mere 10z000 observations. Although the Tankan survey is reasonably well known, it would still be worth spelling out that it only contains surveys of pricing intentions, rather than surveys of actual

32、 prices. Furthermore, it would help to clarify whether the observations in the survey refer to changes from t to or nt-ln to ntn. This is not clear from the quotation included from the survey definitions. Furthermore, it is not clear whether the survey records the data for “current and forecasted va

33、riables as a single (difference) variable, or as two separate variables.The study concerns the behaviour of a firm and its competitors. It would therefore seem key to have a well identified measure of competitors. The paper identifies competitors for firm j as all other firms in a given industry. Wh

34、ile this may be a good description of reality for some industries that are highly traded, possibly in durables, there are many other economic sectors where competition is highly localised. It would be useful to include the location information (eg distance) in the analysis, if available. Furthermore

35、, given that the price adjustment relative to “competitors“ is in fact a measure of price adjustment relative to the industrial average, a worry I have is that industry-specific shocks are causing within-industry price dispersion, and this is being misinterpreted as a strategic complementarity.By th

36、e virtue of only containing data on qualitative margins, the study is predisposed to find support for time- rather than state-dependent pricing models.For example, the capacity of competitors to “absorb“ switching customers can be limited by the competitors, size, which in many industrial structures

37、 is likely to be inversely related to the size of the firm we study. Or, the fraction of customers who are actively engaged in searching for cheaper alternatives is limited, and such a fixed number is of a lesser consequence for a larger firm than for a smaller one. A number of other reasons likely

38、exist.Thus, it is reassuring that the results are very significant. However, the authors may wish to discuss in more detail the temporal frequency of price adjustment. Given that 74% of all quarterly observations are no change”, a more careless reader may interpret this as once a year price adjustme

39、nt, quite common in time-dependent pricing literature. It would be worth dispelling that concern.I think it would also be worthwhile to spend more time discussing the size of the asymmetry: the authors find that the complementarity is four times larger when prices are being cut. Furthermore, the asy

40、mmetry is only significant when also controlling for market power, although this masks the finding that firms with a higher market power respond less to competitors than those with a smaller market power. I think these findings should be moved out of the extensions, and into the main results. Furthe

41、rmore, a firms own market share lowers the price change probability - this is a new finding in the literature, and should also make it to the main results, I think.Finally, I would like to ask the authors to think about linking their findings on “demand uncertainty7 to a literature on business cycle

42、 turning points. Business cycle turning points are clearly periods of heightened uncertainty of demand, and given that the sample spans the period around the Great Financial Crisis, the data contain a good period to check the robustness of the “wait and see hypothesis. Presumably, the “wait and see/

43、z results should be stronger then than immediately prior to the onset of the crisis.Let me just conclude by saying that I have learned a lot of interesting and stimulating new facts that seem to give further support to the state-dependent pricing hypothesis in the worlds third largest economy. I hop

44、e that my comments will provide the authors with some ideas to further improve and strengthen their paper.I am also grateful to the organisers of the conference for inviting me to their stimulating event.ReferencesDiamond, P (1971): A model of price adjustment”, Journal of Economic Theory, vol 3, no

45、 2, pp 156-68.Dotsey, M and R King (2005): implications of state-dependent pricing for dynamic macroeconomic models”, Journal of Monetary Economics, vol 52, no 1, January, pp 213-42.Kogaz Mz K Yoshino and T Sakata (2019): Strategic complementarity and asymmetric price setting among firms”, Bank of J

46、apan Working Paper Series, no 19-E-5, March.Impact of relative price changes and asymmetric adjustments on aggregate inflation: evidence from the PhilippinesJoselito R Basilio and Faith Christian Q Cacnio1AbstractThe paper uses disaggregated price data to determine whether the higher moments of the

47、distribution of relative price changes provide information on the adjustments and persistence of aggregate price conditions in the Philippines. It takes into account the changes that occurred in relative price movements between the pre-inflation targeting (ie 1994-2001) and inflation targeting (ie 2

48、002-September 2019) periods. Results indicate that the dispersion of relative price changes and the skewness of their distribution are positively related to movements in short-run inflation. Moreover, price adjustments are observed to be asymmetric, which can have significant effects on short-run in

49、flation.JEL classification: E3, E31, E52.Keywords: relative price changes, distribution of price changes, asymmetric price adjustments, inflation, inflation targeting.Bangko Sentral ng Pilipinas, Department of Economic Research and Centre for Monetary and Financial Policy, respectively. We are grateful to Dr Renee Fry-McKibbin of the Australian National University and the participants in the BSP-BIS conferenc