Thai inflation dynamics: A view from disaggregated price data |
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| Institution: | 1. Department of Business Administration, Athens University of Economics and Business, 76 Patission Street, GR-10434, Athens, Greece;2. IPAG Business School, 184 Boulevard Saint-Germain, FR-75006, Paris, France;3. Centre for Planning and Economic Research, 11 Amerikis Street, GR-10672, Athens, Greece;1. WHU - Otto Beisheim School of Management, Burgplatz 2, 56179, Vallendar, Germany;2. EBS Business School, Burgstraße 5, 65375, Oestrich-Winkel, Germany;1. Salford Business School, University of Salford, Salford, M5 4WT, UK;2. University of Liverpool Management School, University of Liverpool, Chatham Street, Liverpool, L69 7ZH, UK;3. Department of Economics, University of Oviedo, Facultad de Comercio, Turismo y Ciencias Sociales Jovellanos, Luis Moya Blanco, 261. 33203 Gijón, Spain |
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| Abstract: | This paper utilizes disaggregated prices at the micro level to examine the patterns of price adjustment in Thailand. Among the key stylized facts, we found that the frequency of price changes are generally low, prices decreases are common, the size of price changes are large relative to the inflation rate, and there is significant dispersion in price levels as well as in the synchronicity of price changes across regions. To better understand the underlying sources of heterogeneous price dynamics, we conduct dynamic factor analyses and highlight the importance of relative price changes in driving the bulk of overall CPI movements. This suggests an important role of non-monetary factors in driving inflation. A significant Phillips curve relation is detected once idiosyncratic price changes are filtered out, reinforcing the importance of disaggregated analysis of price trends in the conduct of monetary policy. |
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| Keywords: | Factor model Inflation Price rigidity Price setting Relative prices Phillips curve C40 C25 D40 E31 |
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