中国商品市场名义价格粘性的测度——来自互联网的证据
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| Title | An Estimate of the Degree of Nominal Price Stickiness in China:Evidence from the Internet
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| 作者 | 金雪军 黄滕 祝宇 |
| Author | Jin Xuejun, Huang Teng and Zhu Yu |
| 作者单位 | 浙江大学经济学院 |
| Organization | School of Economics, Zhejiang University |
| 作者Email | cec_jxj@zju.edu.cn；15158173309@163.com；ross.zhu2007@gmail.com |
| 中文关键词 | 商品市场 价格粘性 时间相关定价 状态相关定价 货币政策 |
| Key Words | Nominal Price Stickiness; Time-Dependent Pricing; State-Dependent Pricing; Monetary Policy |
| 内容提要 | 本文利用网络文本提取与挖掘技术，构建超过15亿条观测的产品级高频数据集，对中国商品市场2010年12月至2013 年2月间名义价格粘性程度进行估算。结果表明：（1）相对于发达国家，我国的价格粘性程度处于较低水平，总体价格变化的加权中位数频率是每天1.23%，总体价格持续时间中值为2.7个月，剔除促销的影响后，价格持续时间中值增加到3.4个月。（2）不同类别商品的价格粘性存在较强异质性，为微观粘性和宏观粘性的差异提供了可能的解释。（3）通过区分名义价格向上粘性和向下粘性，发现中国商品市场不存在向下粘性。（4）通过划分子样本分析，发现东部地区和中部地区价格粘性程度比较接近且均高于西部地区，进口品和成交量排名前20零售商的商品价格更为灵活。（5）价格调整幅度的分布呈双峰形态，与状态相关定价模型的预测一致（Golosov and Lucas，2007），表明中国扩张性货币政策对产出的刺激效果较弱。上述结论有助于评估货币政策有效性和制定更有效的货币政策，并为构建更具微观基础的宏观经济模型提供了新的经验证据。 |
| Abstract | Using webtext extraction and data mining technology, this paper constructed a product-level, high frequency data set of more than 1.5 billion observations from December 2010 to February 2013 to estimate the nominal price stickiness in Chinese commodity market. The results show that: (1) Compared with developed countries, the degree of price stickiness in China is at a low level, with a weighted median price change frequency of 1.23% per day. The median implied duration of price is about 2.7 months with sales and 3.4 months without sales. (2)The price stickiness is highly heterogeneous across groups, providing a possible explanation for the differences between the micro and macro stickiness. (3) We find no evidence to support the hypothesis of downward nominal rigidity. (4) The degree of price stickiness in eastern and central regions is relatively close and was higher than that of the western region. The price of imported goods is more flexible as well as top 20 goods according to the sales ranking. (5) The distribution of the size of price changes is bimodal, consistent with predictions of State-Dependent Pricing model (Golosov and Lucas, 2007). In addition to providing new empirical evidence for constructing macroeconomic models, this paper also contribute to the assessment of monetary policies and to develop more effective monetary policy. |
| 文章编号 | WP553 |
| 登载时间 | 2013-11-12 |
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