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dc.contributor.authorReis, Ricardoen_US
dc.contributor.authorWatson, Mark W.en_US
dc.date.accessioned2009-01-28T15:00:04Z-
dc.date.available2009-01-28T15:00:04Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/17876-
dc.description.abstractThis paper estimates a common component in many price series that has an equiproportional effect on all prices. Changes in this component can be interpreted as changes in the value of the numeraire since, by definition, they leave all relative prices unchanged. The first aim of the paper is to measure these changes. The paper provides a framework for identifying this component, suggests an estimator for the component based on a dynamic factor model, and assesses its performance relative to alternative estimators. Using 187 U.S. time-series on prices, we estimate changes in the value of the numeraire from 1960 to 2006, and further decompose these changes into a part that is related to relative price movements and a residual ?exogenous? part. The second aim of the paper is to use these estimates to investigate two economic questions. First, we show that the size of exogenous changes in the value of the numeraire helps distinguish between different theories of pricing, and that the U.S. evidence argues against several strict theories of nominal rigidities. Second, we find that changes in the value of the numeraire are significantly related to changes in real quantities, and discuss interpretations of this apparent non-neutrality.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKieler Arbeitspapiere 1364en_US
dc.subject.jelC32en_US
dc.subject.jelC43en_US
dc.subject.jelE31en_US
dc.subject.ddc330en_US
dc.subject.keywordInflationen_US
dc.subject.keywordMoney illusionen_US
dc.subject.keywordMonetary neutralityen_US
dc.subject.keywordPrice indexen_US
dc.titleMeasuring changes in the value of the numeraireen_US
dc.typeWorking Paperen_US
dc.identifier.ppn535024371en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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