| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8700 |
| 来源ID | Working Paper 8700 |
| Asset Prices in the Measurement of Inflation | |
| Michael F. Bryan; Stephen G. Cecchetti; Roisin O'; Sullivan | |
| 发表日期 | 2002-01-09 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | The debate over including asset prices in the construction of an inflation statistic has attracted renewed attention in recent years. Virtually all of this (and earlier) work on incorporating asset prices into an aggregate price statistic has been motivated by a presumed, but unidentified transmission mechanism through which asset prices are leading indicators of inflation at the retail level. In this paper, we take an alternative, longer-term perspective on the issue and argue that the exclusion of asset prices introduces an 'excluded goods bias' in the computation of the inflation statistic that is of interest to the monetary authority. We implement this idea using a relatively modern statistical technique, a dynamic factor index. This statistical algorithm allows us to see through the excessively 'noisy' asset price data that have frustrated earlier researchers who have attempted to integrate these prices into an aggregate measure. We find that the failure to include asset prices in the aggregate price statistic has introduced a downward bias in the U.S. Consumer Price Index on the order of magnitude of roughly 1/4 percentage point annually. Of the three broad assets categories considered here -- equities, bonds, and houses -- we find that the failure to include housing prices resulted in the largest potential measurement error. This conclusion is also supported by a cursory look at some cross-country evidence. |
| 主题 | Macroeconomics ; Business Cycles ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w8700 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566307 |
| 推荐引用方式 GB/T 7714 | Michael F. Bryan,Stephen G. Cecchetti,Roisin O',et al. Asset Prices in the Measurement of Inflation. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8700.pdf（278KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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