关于工业品价格指数的研究报告

工业品价格总指数和类指数在反映价格变动中的作用不同,应分别加以编制;而代表产品和代表企业的正确选择,是编制工业品价格指数的核心,权数的确定又是不容忽视的关键,本文对这三个问题所应遵循的原则和采取的方法做了系统地分析研究。     

特征价格法在房地产价格指数中的应用

特征价格法（Hedonic method）是将房地产价格变动中的质量特征因素进行分解，以显现出各项特征的隐含价格。并从价格的总变动中逐项剔除质量特征变动的影响，达到仅仅反映纯价格变动的目的。本文通过双重Imputation过程估计缺失价格和剔除异常值的影响，解决了可比性问题，并增强了Hedonic模型的稳定性。     

中国股票市场和商品市场共振效应研究

文章选取股票市场和商品市场为代表性金融市场,通过价格共振和波动共振两个维度对金融市场系统性风险进行研究.用2008-2020年万得全A和南华商品指数代表股票市场和商品市场价格构成研究样本,通过计算两指数的年度相关系数,对引发金融市场价格共振的因素进行剖析总结;使用DCC-GARCH模型计算两指数的波动相关系数,研判2008-2020年间以股票市场和商品市场为代表的金融市场风险变化情况;用实际数据研究了重大事件发生后金融市场间波动共振程度的变化情况.研究表明:2014-2017年,在强监管和构建成熟资本市场的不断推进下,两市场间波动共振关系弱化;2018年后,重大事件影响下系统性风险水平上升,相关系数重回高位,波动共振再次加强.并提出对化解金融市场系统性风险的相关建议.     

《反垄断法》与《价格法》的竞合与协调问题研究

《反垄断法》颁布前,各部门法中有很多反垄断相关的法律规定,其中《价格法》比较系统的对价格垄断的内容做出了规定.《反垄断法》颁布后,这种情况得以改变.然而,在价格垄断行为方面,《价格法》与《反垄断法》都做出了规定,导致了法律竞合问题.因此,《价格法》或《反垄断法》的选择适用,是反垄断执法部门需要不断进行思考的问题.     

产品异质和引力模型视角下中国汽车出口分析

本文对藤田昌久等的模型进行了扩展,在引力模型的分析框架内对异质产品的出口影响因素进行了理论分析,并利用2005²009年中国对138个国家和地区的汽车出口经验数据进行了实证研究。理论分析和实证研究均表明:汽车的异质特征、目标市场的经济规模、目标市场的经济发展水平和空间距离都对中国汽车的出口规模产生了影响;产品异质特征的影响主要表现为,出口的汽车平均价格越高出口规模越小。进一步的实证研究表明,随着汽车品质等级的提高,出口规模与空间距离之间呈倒U型的相关关系。     

因素分析法在石油工程定额结算分析中的应用

石油工程定额结算因素分析是从专业分类、构成要素、价格指数等多个角度开展的一种分析方法,以石油钻井工程为例,采用因素分析法可以从石油钻井工程造价费用构成要素和石油钻井工程主材价格因素两个方面进行分析,关键环节是选择费用构成因素的分析对象和不同时期的主材价格进行对比分析,进而编制各专业单位造价指标的主材价格影响指数和石油专业工程造价综合的主材价格影响指数,对石油工程定额结算分析可以发挥十分重要的作用.     

智能虚拟资本品动态估值:一个整体化模型

现有智能虚拟资本品的估值与测度模型众多,主要存在如下问题:一是关于智能资本品的定义和分类标准尚不统一;二是模型所要针对解决的问题的客观特征也难以清晰,多数模型都缺乏动态分析;三是评估模型对智能品的价值创造过程还缺乏深入的解析.本文试图针对研究现状中所存在的上述问题作进一步的探讨:首先是对现有代表性评估模型进行综合性分析...     

编制物价指数的若干方法论问题——《关于物价指数若干理论问题的探封》的续稿

经济指数是分析经济现象动态的有力工具之一。物价指数是一种经济指数。它是研究价格动态的主要工具。在社会主义国家,经常编制一系列的物价指数,研究物价变动的幅度和趋势。物价指数有其独特的理论基础与方法论。物价指数的理论基础是对价格的经济分析。这一点,我已在《关于物价指数若干理论问题的探讨》(载《经济研究》1961年第8期)一文中阐述过了,这里不拟重复。本文试图对编制物价指数的方法论问题,做初步的探讨。在我国经济工作者中间,有些同志对于物价指数的作用,对于物价指数能否反映价格变动,还有不同的认识。事实上,作为一种统计方法的物价指数,是从一定的角度研究物价综合动态的工具。它必须把影响价格变动的某些因素加以抽象。因此,物价指数     

基于空间计量模型的郑州城市新建住宅空间效应研究

基于郑州市近几年新建住宅微观数据,首先分析了新建住宅价格的空间相关模式及空间集聚性,发现郑州市新建住宅价格存在着明显的空间依赖性,并且空间相关模式具有区域异质性;通过空间效应检验判断,空间滞后效应较为明显,对于新建住宅价格的影响在空间维度上非常显著,也是最重要的因素。通过空间计量模型分析发现,空间溢出效应和交通可达性也是不容忽视的影响因素;在模型选取上,从拟合优度和极大似然值等判断,空间杜宾模型(SDM)是四种模型中拟合最优的模型;最后本文建议政府部门在进行房地产政策选择和价格调控措施时,必须充分考虑到空间作用机制对于新建住宅价格的空间异质效应。     

论《价格法》的宏观调控功能

《价格法》是我国市场经济法律体系中一部重要的法律,它以法律的形式保障政府利用价格杠杆调控经济运行、规范经营者的价格行为,在深化价格改革、保障消费者和经营者的合法权益、稳定价格总水平方面等发挥着重要的作用。文章从《价格法》宏观调控的理论基础、主要内容、实施现状、完善思考等方面对《价格法》的宏观调控功能进行了论述。     

Estimating Quality‐adjusted Price Changes: Method and Application to VCRs

This paper uses scanner data to generate estimates of quality‐adjusted price changes for video‐recorders. We use hedonic regressions to derive estimates of the changing worth of each quality component. These are then applied to weighted changes in the mix of quality attributes of products to derive estimates of quality‐adjusted price (QAP) changes. The data source used is electronic‐point‐of‐sale (EPOS) scanner data that are available for a wide range of goods. This study provides an example of how such methods can be more widely applied. The estimates of QAP changes correspond to constant‐utility, (hedonic) cost‐of‐living indexes defined in economic theory as the ratio of expenditure functions at constant utility allowing for changing prices and characteristics of goods. This method is proposed as an improvement on the existing direct method , which takes its estimates directly from the coefficients associated with 'time dummies' in a hedonic regression. We finally undertake a matching process, akin to that used by statistical offices, and compare the results. Direct comparisons with RPI estimates and these hedonic approaches are not easy since the approaches use quite different data sets. Our replication of a procedure akin to that used for the RPI on the scanner data set provides insights into sources of potential bias.     

Chained,exact and superlative hedonic price changes: estimates from microdata

Scanner data are used to calculate chained, exact (and superlative) hedonic price indexes for television sets. The data source is available for a wide range of goods, the application providing an example of how this method can be more widely applied. The indexes correspond to constant utility, hedonic cost-of-living indexes. The approach improves on the existing direct method, which takes its estimates directly from the coefficients on time dummies in a hedonic regression. It also improves on the matched model method used by statistical agencies. The differences between actual price changes and exact hedonic quality-adjusted price changes are found to be substantial. Base-period and current-period weighted exact hedonic indexes are similar, thus providing good approximations to a superlative index. Estimates from the direct, dummy variable approach were compared to the superlative indexes. The disparities between the results argue for caution in the use of the direct, dummy variable approach to estimating quality-adjusted price changes.     

An Index Approach to Measuring Product Differentiation: A Hedonic Analysis of Airfares

The main objective of this paper is to introduce an Allen-type index of differentiation based on cost functions. With this index, we create an economic measure of product differentiation that quantifies differences between products. Applied research has some generally accepted economic measures, for example, the Herfindahl–Hirschman Index for market concentration, or the Gini coefficient for inequality. Product differentiation, however, does not yet have an established measure. Our objective is to fill that gap and introduce a measure that can be used in market-related applied research such as market power, antitrust, price indexes, or market strategy. To operationalize the index, we introduce the concept of a core product and use cost functions to measure the degree of differentiation from the core product. To demonstrate the use of the index, we study the effect of product differentiation on price formation in the airline industry using an enhanced hedonic model. The model is empirically tested on 103,980 observations of quarterly US domestic airfare data between 2002 and 2016 and shows that product differentiation has a significant effect on both price and mark-up.     

Prices,product differentiation and quality measurement: A comparison between hedonic and matched model methods

The paper provides an analysis of the problems of construction of quality-adjusted price indexes within the framework of the theory of product differentiation. In the general case of price-making behaviour on the part of firms, hedonic regressions are defined on the basis of reduced forms of the equation relating equilibrium prices to product characteristics. The paper considers the reduced form given by the marginal cost function and shows that the Laspeyres hedonic price index provides a lower bound to the quality-adjusted rate of price change while the Paasche hedonic price index provides an upper bound to the quality-adjusted rate of price change. The properties of hedonic price indexes are compared with those of matched model indexes. The theory is applied to the study of personal computer prices in Italy during the 1995–2000 period.     

The treatment of ‘quality’ in the cost of living index

This paper develops the implications of cost of living index theory for measuring the impact of changes in the availability and prices of goods on a household's welfare. It considers both the ‘goods approach’, which treats each variety as a separate entity, and two characteristics approaches: ‘L-characteristics’ and ‘H-characteristics’. L-characteristics are Lancaster's ‘linear and additive’ specification; H-characteristics are Houthakker's ‘heterogeneous’ specification in which the household consumes only a single variety of each product. The paper concludes by discussing the implications of the theory for actual index number construction and relating it to the literature on ‘quality’ and ‘hedonic indexes’.     

Quality-corrected price indices: the case of the Dutch new passenger car market, 1990–1999

Market dynamics and technological developments constitute a major challenge to the proper measurement of the price evolution of durable goods. In this study, hedonic methods are used to estimate quality-corrected price indices of new passenger cars in the Netherlands, 1990–1999. Use is made of a huge set of price, quantity and quality information about 11,000 car models, obtained from different sources. During the observation period the nominal price level of all available car models increased about 20% on average, while the shares of car models with airbags, tinted glass and power steering increased from almost nothing to about 90%. Matched model price indices and the official CPI for new passenger cars, which partially account for quality-adjustments, estimate the price increase to be equal to 10.6–14.2% respectively 11.2% for the 1990–1999 period. By contrast, the hedonic Fisher-like price indices based on the preferred annually estimated brand-weighted semi-log hedonic model, lead to price changes varying from +?2.3% to ??3.4% (depending on the choice of weight variable, and the use of fixed or varying reference periods in the index construction) and thereby fall 8.9 to 14.6 percentage points below the official figures, over the period 1990–1999. The pooled adjacent-years model holds an intermediate position with a predicted quality-corrected price decrease of 1.8% over the observation period, which is 13.0 points below the CPI.     

Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries

Fisher hypothesis postulates positive relation between stock return and inflation; however early studies document negative relationship between the two and they conclude that stock cannot be used as a hedge against inflation. In this paper we explore long‐run nonlinear relationship between stock price and goods price. Our sample consists of 19 OECD countries; all or some of these countries have been studied before with the findings of linear cointegration between the stock index and goods price index. Based on unit root tests and linear cointegration test, we apply threshold cointegration tests, Autoregressive Distributed Lag (ARDL) cointegration test and panel VAR method. With all these econometric methods we arrive at heterogeneous findings as follows: two countries have linear cointegration, five countries have threshold cointegration, nine countries do not have any cointegration and finally two countries provide inconclusive results. Estimates of Fisher coefficient provided by linear and nonlinear cointegration methods, which range between 1.27 and 1.86, are consistent with previous studies. Impulse response analysis from panel VAR for countries having no cointegrating relation shows that shock to inflation produces negative response in stock return, which supports findings of earlier studies.     

RAMSEY TAXES MEET PRICE RIGIDITY

‘Ramsey taxes’ are commodity taxes that minimize deadweight loss. Evidence has shown dramatic differences in the extent of price rigidity across goods: while the prices of some goods change frequently, the prices of other goods seldom change. This paper examines Ramsey taxes in the presence of heterogeneous price rigidity. We find that, to minimize deadweight loss, lower (higher) tax rates should be imposed on goods with rigid prices if their relative prices are too high (low) relative to the would‐be situation of no price stickiness. Intuitively, Ramsey taxes remedy the relative price distortion caused by the price rigidity of some goods. We calibrate our model to data from Taiwan and the USA, showing a significant cut in welfare cost if Ramsey rather than uniform taxes are applied.     

Public goods,voting, and growth

We study a parametric politico‐economic model of economic growth with productive public goods and public consumption goods. The provision of public goods is funded by a proportional tax. Agents are heterogeneous in their initial capital endowments, discount factors, and the relative weights of public consumption in overall private utility. They vote on the shares of public goods in gross domestic products (GDP). We propose a definition of voting equilibrium, prove the existence and provide a characterization of voting equilibria, and obtain a closed‐form solution for the voting outcomes. Also we introduce a “fictitious” representative agent and interpret the outcome of voting as a choice made by a central planner for his benefit. Finally, we undertake comparative static analysis of the shares of public goods in GDP and of the rate of balanced growth with respect to the discount factors and the preferences for public consumption. The results of this analysis suggest that the representative‐agent version of our model is capable of capturing the interaction between many voting heterogeneous agents only if the heterogeneity is one‐dimensional.     

Asset pricing theory and the valuation of Canadian paintings

Abstract.  The valuation of Canadian paintings is analysed empirically. Using a sample of auction prices for major Canadian painters for the period 1968–2001, we run hedonic regressions to analyse the influence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second‐stage analysis in which we analyse the properties of Canadian art viewed as an investment asset. We apply standard asset pricing theory, as incorporated in the capital asset pricing model (CAPM), to the analysis of price movements in the market for Canadian paintings.