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Title:Deflation and Relative Prices: Evidence from Japan and Hong Kong PDF Logo
Authors:Gerlach, Stefan
Kugler, Peter
Issue Date:2011
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Money, Macro and Finance in East Asia A2-V3
Abstract:We test the menu cost model of Ball and Mankiw (1994, 1995) on data from the inflation and deflation periods in Japan and Hong Kong. We calculate the moments of the distribution of price changes using a random split procedure to overcome the bias noted by Cecchetti and Bryan (1999). The key implication of the model, that the parameter on skewness is positive during both inflation and deflation, is strongly supported. The data are less clear on, but does not reject, the hypothesis that the parameter on the standard deviation changes sign between inflation and deflation periods.
Subjects:inflation
deflation
menu costs
Hong Kong
Japan
JEL:E31
E30
E32
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft - Lektionen aus der Krise

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