An Estimate of the Degree of Nominal Price Stickiness in China:Evidence from the Internet
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| Title | An Estimate of the Degree of Nominal Price Stickiness in China:Evidence from the Internet
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| Author | Jin Xuejun, Huang Teng and Zhu Yu |
| Organization | School of Economics, Zhejiang University |
| Email | cec_jxj@zju.edu.cn；15158173309@163.com；ross.zhu2007@gmail.com |
| Key Words | Nominal Price Stickiness; Time-Dependent Pricing; State-Dependent Pricing; Monetary Policy |
| 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. |
| Serial Number | WP553 |
| Time | 2013-11-20 |
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