基于在线大数据的中国商品价格粘性研究  

The Stickiness of Online Prices in China

作　　者：姜婷凤 汤珂 刘涛雄[2,3] JIANG Tingfeng;TANG Ke;LIU Taoxiong(School of Banking&Finance,University of International Business and Economics;Institute of Economics,School of Social Sciences,Tsinghua University;Institute for Innovation and Development,Tsinghua University)

机构地区：[1]对外经济贸易大学金融学院,100029 [2]清华大学社会科学学院经济学研究所,100084 [3]清华大学创新发展研究院,100084

出　　处：《经济研究》2020年第6期56-72,共17页Economic Research Journal

基　　金：国家自然科学基金面上项目(71973075);国家社科基金重大项目(16ZDA008);对外经济贸易大学中央高校基本科研业务费专项资金(19QD08)的资助。

摘　　要：近年来,数字经济迅速发展,同时宏观经济的短期波动变得愈加频繁,理解宏观经济短期分析的基础--价格粘性、减少宏观政策时滞变得愈加重要。本文利用来自100多个网站的高频价格大数据(囊括CPI篮子的8大类、46中类、262子类的1970多万条日度商品价格),测度中国商品价格粘性程度、识别价格调整模式,并将微观测度结果用于测算货币政策有效性。研究发现:中国总体上调价较为频繁(调价周期小于2个月)、调价幅度较大(14%-20%)、部门异质性明显、不对称性显著(上调频率及上调幅度更大);调价模式是异质性的时间相依(TDP)和状态相依(SDP)相结合;调价频率(负向)、调价大小的峰度(正向)、异质性部门数量(正向)等均会影响货币非中性程度,相同的货币冲击对各行业的影响有显著的异质性。本文为洞察数字经济对商家调价行为和宏观经济动态的影响抛砖引玉,对大数据时代的货币政策制定和通货膨胀管理具备一定的参考意义。Summary:The rapid development of the digital economy and big data technology has profound impacts on the economy and society.Along with this rapid development,short-term fluctuations in the macroeconomy and financial system have become more frequent.To reduce macroeconomic policy lags,it is important to understand the micro-foundations of the macroeconomic short-term fluctuations,namely price stickiness.However,due to the lack of price data,empirical evidence of price stickiness in China is relatively scarce.Online big data provide us with a new opportunity to study this important issue.In this paper,we measure static price stickiness indicators and identify the dynamic price adjustment patterns in China using a unique daily online price dataset.The data come from the iCPI project(www.bdecon.com)of Tsinghua University and contain online prices from more than 100 websites covering the whole basket of goods used in the Chinese Consumer Price Index(CPI),with over 19 million price records broken down into 8 divisions,46 groups and 262 classes.We combine the empirical evidence with a sufficient statistic for the real effects of monetary shocks(Alvarez et al.[KG-3],2016)to measure the monetary non-neutrality of different heterogeneous sectors.We also explore the application of weak online price stickiness to construct a high-frequency online consumer price index and nowcast inflation.We find that online prices in China are not very sticky:the average price change duration is less than two months(about 45 days),lower than those found by most other studies.The weighted average absolute price change is about 14%,higher than what is found in the literature.The overall price-adjusting frequency is about 17%higher during price surges relative to price drops.The magnitude of the price increases is about 38%higher on average than that of the price decreases but with heterogeneity by class,consistent with the findings of Nakamura&Steinsson(2008).Additionally,the non-parametric survival analysis reveals that the hazard rate of p

关 键 词：在线大数据 价格粘性 调价模式 货币非中性程度 数字经济时代 

分 类 号：F726[经济管理—产业经济] F49