Showing papers on "Consumer price index published in 2016"
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TL;DR: In this article, the authors employ a placebo inference approach, akin to permutation inference, to estimate the effect of a soda tax on the consumption of added sugar in Mexico and find that soda prices increased more than the amount of the tax.
Abstract: To combat a growing obesity problem, Mexico imposed a nationwide tax on drinks with added sugar, popularly referred to as a "soda tax," effective January 2014. Since the tax took effect nationwide, there is no conventional control group that can be used as a baseline to estimate how the tax affected prices. Instead, I make use of control commodities, that is, untaxed goods that are not substitutes for the taxed drinks. I analyze data from Mexico's Consumer Price Index program, using the synthetic control method and a time-series intervention analysis. I employ a placebo inference approach, akin to permutation inference, in both cases. The estimates show that soda prices rose by more than the amount of the tax. There is less evidence that the prices of potential substitutes rose, possibly indicating that consumers did not switch to those products after the tax took effect. Some simple calculations suggest that the soda price increase could lead to a two- to four-pound reduction in mean weight. This in turn amounts to roughly 1.6 to 2.7 percent of mean body mass, which compares to weight reductions that analysts have argued would have meaningful health consequences in the U.S.
97 citations
TL;DR: In this article, two alternative explanations for the relation between aggregate earnings news and future inflation were proposed, one based on firm's changing their investments in response to profitability shocks and the other based on consumers varying their consumption in reaction to higher disposable income or greater wealth arising from increased profitability of listed firms.
Abstract: Prior studies document that aggregate earnings news is related to news about future inflation. We propose two alternative explanations for this relation - one based on firm’s changing their investments in response to profitability shocks and the other based on consumers varying their consumption in response to higher disposable income or greater wealth arising from increased profitability of listed firms. Since supply of goods and services is relatively inelastic in the short-run, our arguments imply that shocks to demand for investments (consumption) will affect prices of investment (consumption) goods and services. Consistent with aggregate earnings news affecting business investments, we find that profitability shocks predict investment shocks in subsequent quarters as well as shocks to Producer Price Index, which primarily tracks prices of production-related goods. We find no evidence that aggregate earnings surprises contain information about future consumption shocks or shocks to prices of consumption goods (Consumer Price Index). Our analyses also reveal aggregate earnings surprises predict future investment and PPI forecast-errors and that this forecasting inefficiency explains previously documented inefficiencies in GDP growth forecasts.
62 citations
TL;DR: In this article, the authors test whether consumer price index (CPI) predicts gold price returns using a flexible generalised least squares estimator, which most importantly accommodates the endogeneity of CPI, its persistency and any heteroskedasticity in the model.
55 citations
TL;DR: The authors assesses the impact of crude oil price movements on two macro variables, the gross domestic product (GDP) growth rate and consumer price index inflation rate, in the developed economies of the United States and Japan, and an emerging economy, the People's Republic of China (PRC).
Abstract: This paper assesses the impact of crude oil price movements on two macro variables, the gross domestic product (GDP) growth rate and consumer price index inflation rate, in the developed economies of the United States and Japan, and an emerging economy, the People's Republic of China (PRC). These countries were chosen for this research because they are the world's three largest oil consumers. The main objective of this study is to see whether these economies are still reactive to oil price movements. The results obtained suggest that the impact of oil price fluctuations on developed oil importers’ GDP growth is much lower than on the GDP growth of an emerging economy. The main reasons for this lie in fuel substitution (higher use of nuclear energy, gas, and renewables), a declining population (for Japan), the shale gas revolution (for the United States), and strategic oil stocks and government-mandated energy efficiency targets in developed economies. All of these factors make developed economies more res...
54 citations
TL;DR: The consumer price index (CPI) and the gross domestic product (GDP) price index and implicit price deflator are measures of inflation in the U.S. economy as mentioned in this paper.
Abstract: The Consumer Price Index (CPI) and the gross domestic product (GDP) price index and implicit price deflator are measures of inflation in the U.S. economy. The CPI measures price changes in goods and services purchased out of pocket by urban consumers, whereas the GDP price index and implicit price deflator measure price changes in goods and services purchased by consumers, businesses, government, and foreigners, but not importers. Thus, which one to use in a given scenario depends on one’s purpose.
37 citations
TL;DR: In this article, the authors aimed to model and forecast the tourism demand for Mozambique for the period from January 2004 to December 2013 using artificial neural networks models, where the number of overnight stays in Hotels was used as representative of the tourists' demand.
35 citations
TL;DR: In this paper, the authors investigated the inner hidden factors of co-movements between oil price shocks and macroeconomy and provided complementary explanations for nineteen major oil-related countries/regions' macroeconomic effects caused by unexpected oil price changes.
32 citations
TL;DR: In this article, the authors examined the vulnerability of domestic prices against oil price shocks by considering the direct and indirect effects of oil price on consumer price index, which occur through the known channels of the monetary transmission mechanism.
31 citations
01 Jan 2016
TL;DR: In this paper, the authors examined the macroeconomic consequences for the United States of disruptions in global food commodity markets and found that an unfavorable food commodity market shock raises food commodity prices, and leads to a rise in food, energy, and core inflation, and also to a persistent decline in real GDP and consumer expenditures.
Abstract: We use two approaches to examine the macroeconomic consequences for the United States of disruptions in global food commodity markets. First, we embed a novel quarterly composite global production index for the four basic staples—corn, wheat, rice, and soybeans—in a standard vector autoregression model, and we estimate the dynamic effects of global food commodity supply shocks on the U.S. economy. As an alternative, we also estimate the consequences of 13 narratively identified global food commodity price shocks. Both approaches lead to similar conclusions. Specifically, an unfavorable food commodity market shock raises food commodity prices, and leads to a rise in food, energy, and core inflation, and also to a persistent decline in real GDP and consumer expenditures. A closer inspection of the pass-through reveals that households do not only reduce food consumption. In fact, there is a much greater decline in durable consumption and investment. Overall, the macroeconomic effects turn out to be a multiple of the maximum impact implied by the share of food commodities in the consumer price index and household consumption.
29 citations
TL;DR: It is found that the choice of metric had a marked effect on the findings and concludes that this must be decided in advance to suit the reason for comparing food prices.
Abstract: An important issue in research into access to healthy food is how best to compare the price of foods. The appropriate metric for comparison has been debated at length, with proponents variously stating that food prices should be compared in terms of their energy content, their edible mass, or their typical portion size. In this article we assessed the impact of using different food price metrics on the observed difference in price between food groups and categories of healthiness, using United Kingdom consumer price index data for 148 foods and beverages in 2012. We found that the choice of metric had a marked effect on the findings and conclude that this must be decided in advance to suit the reason for comparing food prices.
24 citations
TL;DR: In this article, the authors use panel data models on a dataset covering EU new member states and candidate countries (Montenegro and Turkey) to investigate the relationship between tourism activity and price level.
Abstract: The authors use panel data models on a dataset covering EU new member states and candidate countries (Montenegro and Turkey) to investigate the relationship between tourism activity and price level. Along with modelling the overall price level, the authors also separately model the price level of consumer goods, of consumer services and of goods and services associated with tourism consumption (hotels and restaurants, recreation and culture, transportation and food and beverages). Thereby, they control for other factors that commonly influence the price level of an economy, such as income, productivity, trade openness and fiscal dominance. The results suggest that tourism activity increases the overall price level in the economy. This effect is, however, much stronger for prices of consumer services; in particular, for prices of recreation and culture, and hotels and restaurants.
TL;DR: The authors examined exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models, and found that the peak response occurs between nine and thirteen months after the exchange rate shock.
Abstract: We examine exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models. Using the aggregate consumer price index and its subcomponents, we find that the peak response occurs between nine and thirteen months after the exchange rate shock. The average pass-through at the monetary policy horizon is approximately 20 percent at the aggregate level. Regarding the subcomponents, the degree of pass-through is greatest for food prices.
TL;DR: The authors investigated the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park.
Abstract: In this paper, we investigate the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park (see International Economic, vol. 50, 2009, pp. 1267–1287). Our main finding is that the effect of oil price shocks on the index of the industrial production (IIP) and consumer price index (CPI) in emerging countries also depends on where the changes fundamentally come from (this is also the case for the United States). We also found that some emerging countries showed unique impulse response patterns, the shapes of which are different from those of the United States and there are differences in impulse response patterns among emerging countries.
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TL;DR: In this paper, the authors performed a hedonic price adjustment for the housing market in Turkey, where they control for the price effects of improvements in observed house characteristics in time, and found significant increases in the quality of houses sold, which in turn suggests that attributing all the price increase to a real appreciation may be misleading.
Abstract: In the 2010Q1-2015Q1 period, housing prices increased 78.8 percent in Turkey, which raises a need to monitor the housing market dynamics carefully. This increase is widespread across the country where prices have even doubled in some regions. Our study performs a hedonic price adjustment for the housing market in Turkey, where we control for the price effects of improvements in observed house characteristics in time. Results show significant increases in the quality of houses sold, which in turn suggests that attributing all the price increase to a real appreciation may be misleading. In particular, we estimate that one fourth of nominal changes and one half of relative changes in house prices stem from quality improvements in general.
TL;DR: In this article, the authors proposed a theoretical framework to analyse the regionally heterogeneous responses of housing prices and inflation to the monetary aggregates shock and the trans-regional interaction of housing price and inflation, which has seldom been discussed in previous literature.
Abstract: This paper proposes a theoretical framework to analyse the regionally heterogeneous responses of housing prices and inflation to the monetary aggregates shock and the trans-regional interaction of housing prices and inflation, which has seldom been discussed in previous literature. Using a GVAR (Globe Vector Autoregression) model, evidence based on China’s 35 major cities for this framework is provided. The results show that (1) the housing price shocks have weak positive influence on CPIs (consumer price index); (2) the housing price shocks, especially the shocks in first-tier cities and eastern cities, have strong positive influence on domestic housing price dynamics and housing prices of other cities; (3) monetary aggregates shock has strong influence on the housing prices of first-tier cities and eastern cities, while weak influence on that of central and western cities. CPIs are barely influenced by monetary aggregates shocks. The empirical results are in accordance with the theoretical explanation. ...
TL;DR: In this paper, the authors constructed a price index for any region of Canada that spans from the colonial era to the mid-nineteenth century using prices collected from the account books of religious congregations with estates throughout the modern-day province of Quebec.
Abstract: I construct the first price index for any region of Canada that spans from the colonial era to the mid-nineteenth century. I use prices collected from the account books of religious congregations with estates throughout the modern-day province of Quebec. The consistency of the type of price quotations in the source material, the high frequency of observations for many goods, the vast number of goods and the inclusion of numerous non-agricultural and non-food goods represent a substantial improvement over previous indexes. Price trends are mildly different from those of existing, but less comprehensive, price indexes. This new index is used to link up with indexes post-1850 in order to create a 328 years-long price index for Canada.
TL;DR: Results demonstrated that the ARIMA-BP integrated intelligent algorithm could achieve high-precision fitting of the historical CPI data of China and showed a forecast error that was smaller than that of the single ARimA model.
Abstract: The autoregressive integrated moving average (ARIMA)–backpropagation (BP) integrated intelligent algorithm for consumer price index (CPI) forecasting was designed based on the ARIMA intelligent forecasting method and the BP intelligent neural network algorithm. The irregular variations in CPI time series data were divided into linear and nonlinear variations. The linear variation was fitted by the ARIMA intelligent forecasting method, and the nonlinear variation was fitted by the BP intelligent neural network. The sum of the fitted linear and nonlinear variations was the CPI forecasted by the ARIMA-BP integrated intelligent algorithm. Results demonstrated that the ARIMA-BP integrated intelligent algorithm could achieve high-precision fitting of the historical CPI data of China. The proposed algorithm showed a forecast error that was smaller than that of the single ARIMA model. Owing to the complexity of the CPI and the combined influence of various factors, achieving accurate CPI forecast is difficult. Such a new integrated intelligent algorithm provides a referent scientific method to forecast the CPI of China in the future. The results can provide government departments reference information of timely price control.
TL;DR: In this paper, the authors used the Box and Jenkins methodology to forecast the future values of the consumer price index (CPI) in the short-term, which is a measure of the average change over time in the price of consumer items, goods and services that households buy for day to day living.
Abstract: Consumer price index is a measure of the average change over time in the price of consumer items, goods and services that households buy for day to day living. It is one of the main indicators of economic performance and also the key indicator of the results of the monetary policy of the country, because of its wide use as a measure of inflation. The main objective of this research was to model the dynamic of CPI and to forecast its future values in the short term. Therefore, to come up with a model and forecasts of CPI, Box and Jenkins methodology were used which consists of three main steps; Model Identification, Parameter Estimation and Diagnostic Checking. Therefore, ARIMA (4,1,6) was selected as a potential model which can fits well data, as well as to make also accurate forecast. Hence, the forecast was made for 12 months ahead of the year 2016, and the findings have shown that the CPI was likely to continue rising up with time.
TL;DR: This paper reviewed a range of issues and the evidence on how prices matter for measuring poverty, particularly in Africa, and drew on a wide literature, much from developed countries, and offered suggestions for future work in this area.
Abstract: Measuring poverty requires adjusting nominal consumption (or income) into a real value of consumption, across geographic areas and over time. To this end, data on consumer prices are used to construct a price index. There are a range of approaches to do this, from using the consumer price index, to survey-based unit values, which differ in the underlying sources of price data and methodologies for indexing. These different approaches can have large impacts on poverty measures and trends. Surprisingly little attention has been focused on this topic. This study reviews a range of issues and the evidence on how prices matter for measuring poverty, particularly in Africa. It draws on a wide literature, much from developed countries, and offers suggestions for future work in this area.
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TL;DR: In this article, the authors examined the market integration and price transmission in India using the time series techniques of cointegration and vector error correction models and found that there is both short-run and long-run relationship between domestic commodity index (all commodity index, energy index, and metal index) prices and international commodity index.
Abstract: In the era of globalization markets are connected to each other not only to compete domestic products with international products to increase economic stand but also export the required products Therefore, in the recent years markets are more vibrant and transparent in integration with each other Over the last couple of years, it has been seen that commodity prices have increased and remained highly volatile not only in international market but in India Therefore, this paper examines the market integration and price transmission in India using the time series techniques of cointegration and vector error correction models The study finds that there is both short-run and long-run relationship between domestic commodity index (all commodity index, energy index and metal index) prices and international commodity index (all commodity index, energy index and metal index) prices But, there is no relationship between domestic agriculture index price and international agriculture index price The study also finds that except the agriculture index price, the change in domestic commodity index (all commodity index, energy index and metal index) prices are due to the change in international commodity index (all commodity index, energy index and metal index) prices
07 Mar 2016
TL;DR: In this article, the impact of macroeconomic determinants on industrial productivity in Nigeria for the period of 1981-2013 has been investigated and it was revealed that while the Nigerian government had embarked on a number of industrial development strategies with the sole purpose of boasting industrial productivity, they seem to have yielded little or no result.
Abstract: The paper focuses on the impact of macroeconomic determinants on industrial productivity in Nigeria for the period, 1981-2013. It was discovered that while the Nigerian government had embarked on a number of industrial development strategies with the sole purpose of boasting industrial productivity in Nigeria, they seem to have yielded little or no result. The macroeconomic variables in the study include industrial production index, exchange rate, consumer price index, interest rate, broad money supply, foreign direct investment, credit to manufacturing sector and gross domestic product. The study employed OLS technique and found that exchange rate exert significant positive impact on industrial productivity in Nigeria. Also, the impact of interest rate, FDI and real GDP on industrial production index is positive. On the other hand, consumer price index, broad money supply and credit to manufacturing sector exert negative impact on industrial development in Nigeria. The paper recommended that a workable M2 that can enhance credit to manufacturing sector and at the same time control interest rate to boast investment should be determined.
TL;DR: The Citadel art price index as mentioned in this paper uses the hedonic regression method with observations drawn from the top 100, 50 and 20 artists by sales volume, giving approximately 29 503 total auction observations.
Abstract: Art has been suggested as a good way to diversify investment portfolios during times of financial uncertainty. The argument is that art exhibits different risk and return characteristics to conventional investments in other asset classes. The new Citadel art price index offered the opportunity to test this theory in the South African context. Moreover, this paper tests whether art prices are efficient. The Citadel index uses the hedonic regression method with observations drawn from the top 100, 50 and 20 artists by sales volume, giving approximately 29 503 total auction observations. The Index consists of quarterly data from the period 2000Q1 to 2013Q3. A vector autoregression of the art price index, Johannesburg stock exchange all-share index, house price index, and South African government bond index were used. Results show that, when there are increased returns on the stock market in a preceding period and wealth increases, there is a change in the Citadel art price index in the same direction. No significant difference was found between the house price index and the art price index, or between the art and government bond price indices. The art market is also found to be inefficient, thereby exacerbating the risk of investing in art. Overall, the South African art market does not offer the opportunity to diversify portfolios dominated by either property, bonds, or shares.
TL;DR: In this article, the authors presented an annual property price index for Dublin over the period 1708-1949, which is constructed using the Hedonic method and is estimated in real and nominal terms.
Abstract: This paper presents an annual property price index for Dublin over the period 1708-1949. Obtaining the data for a historical index and presenting it was the objective of this research. It was done in the belief that any better insight into property prices via a long range price index would help in delivering more accurate historical facts as they relate to housing. Data for the index was researched from examination of actual property transactions recorded in the Registry of deeds. The index is constructed using the Hedonic method and is estimated in real and nominal terms.
TL;DR: In this article, the authors used Engel curve estimations to assess bias in the consumer price index and its implications for estimated poverty trends in sub-Saharan African countries, and found that poverty reduction may be understated.
Abstract: International poverty estimates for countries in Africa commonly rely on national consumer price indexes to adjust trends in nominal consumption over time for changes in the cost of living. However, the consumer price index is subject to various types of measurement bias. This paper uses Engel curve estimations to assess bias in the consumer price index and its implications for estimated poverty trends. The results suggest that in 11 of 16 Sub-Saharan African countries in this study, poverty reduction may be understated because of consumer price index bias. With correction of consumer price index bias, poverty in these countries could fall between 0.8 and 5.7 percentage points per year faster than currently thought. For two countries, however, the paper finds the opposite trend. There is no statistically significant change in poverty patterns after adjusting for consumer price index bias for the other three countries.
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TL;DR: In this article, the authors employed an error correction model (ECM) to test for asymmetry in the transmission of farm milk price changes to changes in the retail price and found that retail prices tended to respond more quickly with farm price increases vs. decreases.
Abstract: This study is used to examine the characteristics of the retail price adjustment within the U.S. fluid whole milk market. We employ an error correction model (ECM) to test for asymmetry in the transmission of farm milk price changes to changes in the retail price. In this analysis we use monthly data of farm and retail whole milk prices encompassing the January 2001 to December 2011 period for 16 U.S. cities. Several cities were found to display asymmetric price transmission where retail prices tended to respond more quickly with farm price increases vs. decreases.
TL;DR: This paper found that the price shock created a forward-looking incentive to invest, which can dynamically enhance productivity in agriculture, and that the impact of price spikes on investment behavior differs by initial wealth.
Abstract: Did the rise in food prices have a long-term impact on agricultural production? Using household-level panel data from seven provinces of Indonesia, this paper finds that the price shock created a forward-looking incentive to invest, which can dynamically enhance productivity in agriculture It also finds that the impact of the price shock on investment behavior differs by initial wealth In response to price increases, wealthy farmers invested more in productive assets, while poor farmers increased their financial savings as well as consumption Price spikes relax liquidity constraints, which increases investments among the richer while do so savings and consumptions among the poor, possibly leading to diverging income inequality in the long run
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TL;DR: In this paper, structural characteristics that reinforce the reluctance of central banks to commit to free floating exchange rates are incorporated into optimal policy formulation to determine the extent of exchange rate involvement in monetary policy.
Abstract: Motivated by recent experiences in Iran, this paper incorporates structural characteristics that reinforce the reluctance of central banks to commit to free floating exchange rates (‘fear of floating’) into optimal policy formulation to determine the extent of exchange rate involvement in monetary policy. We utilize a small stylized model of a small developing open economy calibrated for the Iranian economy to compare the performance of alternative policy regimes, namely flexible domestic inflation targeting, flexible consumer price index inflation targeting, and real exchange targeting in handling higher openness, higher exchange rate pass through, and financial vulnerability. Evaluation of the above alternative policy regimes and relative stability of key macroeconomic variables are conducted through an optimal Ramsey policy approach. The results suggest that, in financially vulnerable small open developing economies, consumer price IT may not be the optimal policy and giving a higher positive weight to...
19 Oct 2016
TL;DR: In this paper, the impact of Foreign Direct Investment (FDI) on the stock market performances in Nigeria, from 1985 to 2014, was examined. And the authors revealed that FDI has an insignificant and negative impact on the economy and the macroeconomic variables that determine the performances of the Nigerian stock market.
Abstract: The study examined the impact of Foreign Direct Investment (FDI) on the stock market performances in Nigeria, from 1985 – 2014. The secondary data used were collected from IMF, International Financial Statistics (2015), CBN Statistical Books (2015). Multiple regression of least square estimation was the tool used to analyze the data in this study. In the model, the FDI was regressed on RGDP, Consumer Price Index, Real effective exchange rate, Money supply (M2), Share price index, Treasury bill, Nigerian stock exchange transactions. The study revealed that FDI has an insignificant and negative impact on the economy and the macroeconomic variables that determine the performances of the Nigerian stock market. The paper therefore recommends policies that would encourage foreign firms operating in the oil and gas including the telecommunication and agricultural sectors to be listed since it would go a long way in attracting more FDI, leading to improvement in the stock market performances.
01 Jan 2016
TL;DR: In this article, the causal link between the PPI and the consumer price index (CPI) in Slovakia was examined using a time-varying rolling window approach and the results indicated the existence of bi-directional causality between the two series in several sub-samples.
Abstract: This study examines the causal link between the pr oducer price index (PPI) and the consumer price index (CPI) in Slovakia. We us the bootstrap Granger full sample causality, and the sub-sample rolling w indow approach and results indicate the unidirectional causality running from the PPI to the CPI. By taking the structural changes into consideration, the full sample causal relationship is unstable and such results are misappropriated. Furt her, we use a time-varying rolling window approach to revisit the dynamic caus l relationship between the PPI and the CPI. It indicates the existence of bi-d irectional causality between the two series in several sub-samples and the resul t supports the neoclassical profit-maximizing model, which shows that PPI plays key role in the CPI in the Slovakia. We find that the PPI has a more contribut ing role to the CPI so the central bank can minimise the inflation by taking c ertain predictive measures to keep the input prices under control. The central ba nk should consider the reliable response of the prices at an aggregated and dis aggregated level of production in the formulation of inflation targeting. Keyword: Consumer Price Index, Producer Price Index, rolling window, timevarying causality, bootstrap JEL Classification: C32, E31 * Chi-Wei SU, Ocean University of China, Department o f Finance, No. 238 Songling Rd., Qingdao, Shandong, China; e-mail: cwsu7137@gmail.com ** Khalid KHAN, Ocean University of China, School of E conomics, No. 238 Songling Rd., Qingdao, Shandong, China; e-mail: shah_khan884@yahoo .com *** Oana-Ramona LOBON Ţ, West University of Timisoara, Finance Department, Pestalozzi Street, No. 16, 300115, Timisoara, Romania; e-mail: o na.lobont@e-uvt.ro **** Hao-Chang SUNG, Jinan University, College of Economi cs, Department of Finance, No 601 Huangpu Avenue West, Guangzhou, Guangdong, C hina; e-mail: frrg4125@hotmail.com 1 This research is supported by the National Social Science Foundation (Grant number: 15BJY155 and 15BJY011), and Supported by a grant from Iceland, Liechtenstein and Norway through the project 15-SEE-PC-ROTIMISOA01 ActiveGo vEdu, Contract No. 2/24/07.2015.