Is the Euro-Area core price index really more persistent than the food and energy price indexes?

This paper aims to reveal the causal relationship between energy prices and food prices and whether this relationship is similar in the food sub-groups forming the food price index used. As food prices more than doubled during the 2008 economic crisis, this relationship has received considerable attention from researchers. Many researches have been conducted to determine the causes and consequences of the 2008 food price crisis. Researches are mainly focused on crude oil and bio-energy in terms of “energy”. This research is not only differentiated by the data used but also by the methodology employed. The study attempts to add new findings to the empirical food price literature by utilizing relatively newly developed methods, namely Toda–Yamamoto causality, Fourier Toda–Yamamoto causality, and spectral BC causality tests. The spectral BC causality test clearly reveals that there is bidirectional causality between the energy price index and food price indexes (grains, other food, and oils) at different frequencies.

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Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

Financial Innovation ◽

10.1186/s40854-021-00230-8 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Dervis Kirikkaleli ◽

Hasan Güngör

Keyword(s):

Price Index ◽

Raw Materials ◽

Commodity Price ◽

Global Market ◽

Wavelet Coherence ◽

Energy Price ◽

Input Price ◽

Gradual Shift ◽

Price Indexes ◽

Causality Tests

AbstractThis research sheds light on the causal link between commodity price indexes, i.e., the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index, in the global market, using wavelet coherence, Toda–Yamamoto causality, and gradual shift causality tests over the period 1992M1 to 2019M12. Findings from the wavelet power spectrum and partial wavelet coherence reveal that: (1) there was significant volatility in the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index between 2004 and 2014 at different frequencies; and (2) commodity price indexes significantly caused the energy price index at different time periods and frequencies. It is noteworthy that the outcomes of the Toda–Yamamoto causality and gradual-shift causality tests are in line with the results of wavelet coherence.

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Creating Price Indexes for Measuring Productivity in Mental Health Care

Forum for Health Economics & Policy ◽

10.2202/1558-9544.1025 ◽

2001 ◽

Vol 4 (1) ◽

Author(s):

Susan H. Busch ◽

Ernst R. Berndt ◽

Richard G. Frank

Keyword(s):

Mental Health ◽

Health Care ◽

Major Depression ◽

Price Index ◽

Time Varying ◽

Measurement Issues ◽

The Past ◽

Price Indexes ◽

Treatment Technologies ◽

New Treatment

Economists have long suggested that to be reliable, a preferred medical care price index should employ time-varying weights to measure outcomes-adjusted changes in the price of treating an episode of illness. In this article, we report on several years of research developing alternative indexes for the treatment of the acute phase of major depression, for the period 19911996. The introduction of new treatment technologies in the past two decades suggests well-known measurement issues may be prominent in constructing such a price index.We report on the results of four successively re

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Inflation and Price Escalation Adjustments in Estimating Program Cost: F-35 Case Study

Defense Acquisition Research Journal ◽

10.22594/dau.19-836.27.02 ◽

2020 ◽

Vol 27 (92) ◽

pp. 194-217

Author(s):

Stanley Horowitz ◽

Bruce Harmon

Keyword(s):

Price Index ◽

Hedonic Price ◽

Cost Estimating ◽

Program Cost ◽

Defense Systems ◽

Price Indexes ◽

Acquisition Costs ◽

Using Data ◽

Price Escalation

Applying price indexes presents a challenge in estimating the costs of new defense systems. An inappropriate price index—one not closely linked to the inputs to the systems being costed—can introduce errors in both development of cost estimating relationships (CER) and in development of out-year budgets. To help cost analysts understand the impacts of different price indexes, this article applies two sets of price indexes to the F-35 program. Using hedonic price indexes derived from CERs, the authors isolate changes in price due to factors other than changes in quality by developing a “Baseline” CER model using data on historical tactical aircraft programs available early in the F-35 program. The focus of the work is to improve estimates of acquisition costs. All the data used in the econometric analysis are acquisition cost data. Better cost estimates should improve projections of budget requirements.

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Irrelevance of inflation: The Dow stocks

Accounting and Finance Research ◽

10.5430/afr.v9n1p45 ◽

2020 ◽

Vol 9 (1) ◽

pp. 45

Author(s):

Samih Antoine Azar

Keyword(s):

Stock Returns ◽

Stock Prices ◽

Price Index ◽

Inflation Rate ◽

Long Run ◽

Price Indexes ◽

One To One ◽

The Individual ◽

Stock Indexes ◽

Real Assets

The irrelevance of inflation is a proposition, inherited from corporate finance, which states that inflation is irrelevant for the valuation of nominal and real stock prices. In other terms, Net Present Values (NPVs) and stock returns are independent of the inflation rate. The issue at stake is both theoretical and empirical, although the first came much before the latter. In the empirical realm, stock returns are found to be statistically negatively related to inflation. However, and theoretically, the classical school predicted that they should be related positively one-to-one. Moreover long run analysis, that came later, found that stock prices are positively related to price indexes. This stems from the fact that stocks are claims upon real assets, and, therefore, should be a hedge against inflation with the same one-to-one relation. This paper differs by subjecting all these hypotheses to the individual stocks included in the Dow Jones Industrial Index, and not to returns calculated from stock indexes, which is the usage. The empirical results in this paper support strongly the irrelevance of inflation. This is true whatever the price index, whatever the econometric procedure, whatever the industry to which the stock belongs, and whatever the specification of the model. Hence inflation is neither negatively nor positively related to stock returns, whether nominal or real.

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The Price to Consumers of Generic Pharmaceuticals: Beyond the Headlines

Medical Care Research and Review ◽

10.1177/1077558720921100 ◽

2020 ◽

pp. 107755872092110

Author(s):

Richard G. Frank ◽

Andrew Hicks ◽

Ernst R. Berndt

Keyword(s):

Prescription Drugs ◽

Price Index ◽

Generic Drugs ◽

Consumer Price Index ◽

The United States ◽

Out Of Pocket Payments ◽

Price Indexes ◽

The Media ◽

Generic Pharmaceuticals ◽

Total Price

Generic drug prices have received a great deal of attention in the past few years. Many agencies have conducted investigations into the pricing patterns for generic drugs. Price spikes for several specific generic drugs have also been widely reported in the media. Today, 90% of all retail prescriptions sold in the United States are generic drugs. Thus, these prices affect affordability of prescription drugs. We construct two Laspeyres chained price indexes for generic prescription drugs. The first reflects direct out-of-pocket payments by consumers to pharmacies for dispensing generic prescription drugs. The second measures the total price received by the pharmacy (the direct out-of-pocket payment plus the price paid to the pharmacy by the insurer). The chained direct out-of-pocket consumer price index we construct shows a roughly 50% decline for generic prescription drugs between 2007 and 2016. The total consumer price index for generic prescription drugs fell by nearly 80%.

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The Billion Prices Project: Using Online Prices for Measurement and Research

The Journal of Economic Perspectives ◽

10.1257/jep.30.2.151 ◽

2016 ◽

Vol 30 (2) ◽

pp. 151-178 ◽

Cited By ~ 55

Author(s):

Alberto Cavallo ◽

Roberto Rigobon

Keyword(s):

Price Index ◽

Consumer Price Index ◽

Economic Research ◽

Sources Of Information ◽

Advantages And Disadvantages ◽

Reliable Source ◽

Price Indexes ◽

Retail Prices ◽

Project Data ◽

Source Of Information

A large and growing share of retail prices all over the world are posted online on the websites of retailers. This is a massive and (until recently) untapped source of retail price information. Our objective with the Billion Prices Project, created at MIT in 2008, is to experiment with these new sources of information to improve the computation of traditional economic indicators, starting with the Consumer Price Index. We also seek to understand whether online prices have distinct dynamics, their advantages and disadvantages, and whether they can serve as reliable source of information for economic research. The word “billion” in Billion Prices Project was simply meant to express our desire to collect a massive amount of prices, though we in fact reached that number of observations in less than two years. By 2010, we were collecting 5 million prices every day from over 300 retailers in 50 countries. We describe the methodology used to compute online price indexes and show how they co-move with consumer price indexes in most countries. We also use our price data to study price stickiness, and to investigate the “law of one price” in international economics. Finally we describe how the Billion Prices Project data are publicly shared and discuss why data collection is an important endeavor that macro- and international economists should pursue more often.

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Elementary Index Bias: Evidence for the Euro Area from a Large Scanner Dataset

German Economic Review ◽

10.1111/geer.12182 ◽

2019 ◽

Vol 20 (4) ◽

pp. e618-e656

Author(s):

Enikő Gábor-Tóth ◽

Philip Vermeulen

Keyword(s):

Euro Area ◽

Product Category ◽

Scanner Data ◽

Product Categories ◽

Percentage Points ◽

Price Indexes ◽

Substitution Bias ◽

Upper Level ◽

Index Formulas ◽

Fisher Ideal Index

Abstract We provide evidence on the effect of elementary index choice on inflation measurement in the euro area. Using scanner data for 15,844 individual items from 42 product categories and 10 euro area countries, we compute product category level elementary price indexes using eight different elementary index formulas. Measured inflation outcomes of the different index formulas are compared with the Fisher ideal index to quantify elementary index bias. We have three main findings. First, elementary index bias is quite variable across product categories, countries and index formulas. Second, a comparison of elementary index formulas with and without expenditure weights shows that a shift from price only indexes to expenditure weighted indexes would entail at the product level multiple percentage points differences in measured price changes. And finally, we show that elementary index bias is quantitatively more important than upper level substitution bias.

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