Is exchange rate stability beneficial for stabilizing consumer prices in China?

This study examines the relationship between real effective exchange rates (REERs) and the consumer price index (CPI) in China, utilizing a bootstrap Granger full-sample causality test and a sub-sample rolling-window estimation. Considering structural changes, we assess the stability of the parameters and find that both the short-run and long-run relationships between the two estimated variables are unstable. This result suggests that full-sample causality tests cannot be relied upon. We instead employ a time-varying (bootstrap) rolling-window approach to revisit the dynamic causal relationship, and we find that the CPI is affected by the REER for several sub-samples due to the role of exchange rate pass-through (ERPT) under the managed floating exchange rate regime in China. These findings provide further proof of the impact of stable exchange rates on the maintenance of relatively steady price levels especially during the economic crisis and economic reform in China. The policy implication of these findings is that maintaining exchange rate stability is beneficial for controlling inflation during the economic crisis and economic reform.     

房价上涨如何影响了工业产出

为探究房价上涨对工业生产的作用机制,首先基于理论视角对房价如何影响房地产投资、劳动力成本进而影响工业产出进行了论证,基于2003年~2017年全国时间序列数据,构建VAR模型实证检验了房价上涨对工业产出的影响机理。结果表明:房价上涨对工业产出具有"先促进,后抑制"的作用;房价上涨,一方面通过促进房地产投资增长抑制工业产出,另一方面通过提高工业企业劳动力成本抑制工业产出;短期内工业产出对房价的冲击响应较为灵敏且强烈,但长期来看房地产投资、劳动力成本的影响力会逐渐显现,且房地产投资最终成为了解释工业产出的主导因素。     

Investigating first‐stage exchange rate pass‐through: Sectoral and macro evidence from euro area countries

In this paper, we evaluate the first‐stage pass‐through, namely the responsiveness of import prices to the exchange rate changes, for a sample of euro area (EA) countries. Our study aimed to shed further light on the role of microeconomic factors versus macroeconomic factors in influencing the extent of the exchange rate pass‐through (ERPT). As a first step, we conduct a sectoral analysis using disaggregated import prices data. We find a much higher degree of pass‐through for more homogeneous goods and commodities, such as oil and raw materials, than for highly differentiated manufactured products, such as machinery and transport equipment. Our results confirm that cross‐country differences in pass‐through rates may be due to divergences in the product composition of imports. The higher share of imports from sectors with lower degrees of pass‐through, the lower ERPT for an economy will be. In a next step, we investigate for the impact of some macroeconomics factors or common events experienced by EA members on the extent of pass‐through. Using the system generalised method of moments within a dynamic panel‐data model, our estimates indicate that decline of import‐price sensitivity to the exchange rate is not significant since the introduction of the single currency. Our findings suggest instead that the weakness of the euro during the first 3 years of the monetary union significantly raised the extent of the ERPT. This outcome could explain why the sensitivity of import prices has not fallen since 1999. We also point out a significant role played by the inflation in the Eurozone, as the responsiveness of import prices to exchange rate fluctuations tends to decline in a low and more stable inflation environment. Overall, our findings support the view that the extent of pass‐through is comprised of both macro‐ and microeconomic aspects that policymakers should take into account.     

Hedonic pricing and the spatial structure of housing data – an application to Berlin

Housing prices are largely determined by physical location. By applying the outsample prediction accuracy of rental prices as evaluation criteria, we examine whether the choice of the hedonic model additionally depends on the spatial structure of housing data, i.e. accounting for locational effects by either district fixed effects or spatial econometric modelling. Our results show that a generalised spatio-temporal model outperforms a district fixed effects model only if the spatial density – the weighted mean distance to nearest neighbours – is relatively small. Moreover, we use the required density thresholds to deduce a pseudo indifference curve, thereby showing that the ratio of the weighted spatial distance-to-the mean district diameter increases with the mean sample size per district. This emphasises the role of data structure and district choices for model selection. Differences in data can thereby serve as an explanation for contradictory findings in literature, whether spatial econometric methods or simple district fixed effects are used.     

Examining differences in consumer reactions to partitioned prices with a variable number of price components

Partitioned pricing is a tactic in which a seller presents multiple prices for a single product or service instead of one, all-inclusive price. This research investigates effects of partitioned prices containing a variable number of price components, under varying levels of seller trustworthiness, and with or without the presentation of the total price. The results indicate that partitioning into a large number of price components, relative to a small number of price components, negatively affects perceived fairness and purchase intentions for less trustworthy, but not more trustworthy, sellers when the total price is not presented. However, partitioning into a large number of price components positively affects fairness and purchase intentions, regardless of seller trustworthiness, when the total price is presented. The research also examines effects of partitioning on price estimation and recall.     

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium

This paper examines a continuous‐time two‐country dynamic monetary equilibrium in which countries with possibly heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via money in the utility function. Given a price system, no‐arbitrage pricing results are provided for the price of each money and the nominal exchange rate. Characterizations are provided for equilibrium prices for general time‐additive preferences and non‐Markovian exogenous processes. Under a Markovian structure of model primitives, the currency prices are shown to solve a bivariate system of partial differential equations. Assuming that each country is endowed with heterogeneous separable power utility and the exogenous quantities all follow geometric Brownian motions, an equilibrium is shown to exist and additional characterization is provided. A further example of nonseparable Cobb–Douglas preferences is investigated. The additional features over the customary environment of homogeneous logarithmic preferences are emphasized.