Replication data for: Relative Goods' Prices and Pure Inflation

This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of “pure” inflation: the common component in goods’ inflation rates that has an equiproportional effect on all prices and is uncorrelated with relative price changes at all dates. The estimates of pure inflation and of the aggregate relative-price components allow us to re-examine three classic macro-correlations. First, we find that pure inflation accounts for 15-20% of the variability in overall inflation, so that most changes in inflation are associated with changes in goods’ relative prices. Second, we find that the Phillips correlation between inflation and measures of real activity essentially disappears once we control for goods’ relative-price changes. Third, we find that, at business-cycle frequencies, the correlation between inflation and money is close to zero, while the correlation with nominal interest rates is around 0.5, confirming previous findings on the link between monetary policy and inflation.

本文采用动态因子模型（dynamic factor model），对消费品价格的季度变动进行拆解，将其划分为三类成分：异质性相对价格变动、总相对价格变动，以及计价单位变动。该模型识别出“纯”通货膨胀（pure inflation）的量化测度指标：即商品通胀率中的公共成分，该成分对所有价格产生等比例影响，且在所有时期均与相对价格变动互不相关。基于纯通货膨胀与总相对价格成分的估计结果，我们得以重新审视三组经典宏观经济相关性：其一，纯通货膨胀解释了整体通胀15%至20%的波动，这意味着通胀的绝大多数变动均与商品相对价格的变化相关联；其二，在控制商品相对价格变动的影响后，通货膨胀与实际经济活动测度指标之间的菲利普斯相关性（Phillips correlation）基本消失；其三，在商业周期频率下，通货膨胀与货币供应量的相关性近乎为零，而与名义利率的相关性约为0.5，这一发现验证了此前关于货币政策与通货膨胀关联的既有研究结论。