Biggeri / Ferrari Price Indexes in Time and Space

Methods and Practice
1. Auflage 2010
ISBN: 978-3-7908-2140-6
Verlag: Physica-Verlag
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 264 Seiten

This book deals with the currently most relevant topics in price index numbers theory and practice. The problem of the harmonization of Consumer Price Indexes (CPIs) and the time-space integration of baskets is analyzed at the EU-zone level, with methodological and practical proposals on how to proceed for an overall treatment of the matter. Another issue is comparisons between Purchasing Power Parities (PPPs) and CPIs. Likewise, the construction of sub-indexes for households, economic and social groups is investigated, in order to obtain specific inflation measurement instruments. The book provides evidence from the most updated databases. Among the other issues treated in this book are spatial comparisons of price levels through PPPs and the international comparisons of macroeconomic aggregates, a re-consideration of index numbers theory, the measurement of production in non-market services, deflation problems, and price indexes in financial markets. TOC:Consumer Price Indexes Time-Space Integration.- Consumer Price Indexes in Space.- Subindexes.- Price Indexes in National Accounts.- Price Indexes in Financial Markets.

Autoren/Hrsg.

Biggeri, Luigi

Ferrari, Guido

Inhaltsverzeichnis

1;Foreword;5
2;Contents;8
3;Contributors;10
4;Part I Consumer Price Indexes Time-Space Integration ;12
4.1;Are Integration and Comparison Between CPIs and PPPs Feasible?;13
4.1.1;1 Introduction;13
4.1.2;2 Integration of CPIs and PPPs;14
4.1.2.1;2.1 The Comparison of CPI Baskets in the Two Countries;15
4.1.2.2;2.2 The Comparison of CPI and PPI Baskets in Two Countries;17
4.1.2.3;2.3 Problems and Benefits Involved in Developing an Integrated Approach for the Collection of the Necessary Information for CPIs and PPPs;19
4.1.3;3 A Methodological Approach for Deciding whether to Include Less Comparable but More Representative Products in the PPP Calculation;22
4.1.3.1;3.1 Inclusion of Less Comparable Products vs Identical Products;22
4.1.3.2;3.2 Interpretation of the Factors Influencing the PPPs Based on Products with Different Degree of Comparability;25
4.1.4;4 Comparison Between the Computed CPIs and PPPs;27
4.1.4.1;4.1 Comparing CPIs Across Space;28
4.1.4.2;4.2 Comparing APPs Over Time;29
4.1.5;5 Concluding Remarks;32
4.1.6;References;33
4.2;Retrospective Approximations of Superlative Price Indexes for Years Where Expenditure Data Is Unavailable;35
4.2.1;1 Introduction;35
4.2.2;2 Superlative and LloydMoulton Price Indexes;36
4.2.3;3 Approximating Superlative Price Indexes;38
4.2.3.1;3.1 Using Lloyd--Moulton Price Indexes;38
4.2.3.2;3.2 Using Estimated Expenditure Shares;39
4.2.4;4 Lowe CPIs and Approximate Superlative Price Indexes;41
4.2.5;5 Three or More Benchmark Years;44
4.2.6;6 Data and Empirical Evidence;46
4.2.6.1;6.1 Some Facts and Figures;46
4.2.6.2;6.2 Empirical Results;48
4.2.7;7 Conclusion;51
4.2.8;References;51
4.3;Harmonized Cross Region and Cross Country CPI Time-Space Integration in the Euro-Zone;53
4.3.1;1 Introduction;53
4.3.2;2 The State of the Art;54
4.3.3;3 The TCPIs and the PPPs Elaborated by the EU Individual Countries and by Eurostat. Lost in the Intricacy of the Jungle;59
4.3.4;4 The Dual Nature of CPIs: A Critical Appraisal of the National TCPIs/HTICPs and PPPs Elaborated by the NSOs of the EU Countries and by Eurostat;60
4.3.5;5 Cross Region and Cross Country Integration in an Euro-Zone Harmonized Frame: Some Comments and Proposals;63
4.3.6;6 Conclusion;67
4.3.7;References;68
5;Part II Consumer Price Indexes in Space;70
5.1;Modelling Spatially Correlated Error Structures in the Time-Space Extrapolation of Purchasing Power Parities;71
5.1.1;1 Introduction;71
5.1.2;2 The National Price Levels Model;73
5.1.2.1;2.1 The Spatial Error Structure;74
5.1.3;3 The RRD Method;74
5.1.3.1;3.1 The Econometric Formulation of RRD;75
5.1.3.1.1;3.1.1 Observation Equations;75
5.1.3.1.2;3.1.2 Transition Equations;77
5.1.3.2;3.2 Estimation and Prediction of PPPs;79
5.1.4;4 Spatial Specifications Considered in the Analysis;79
5.1.4.1;4.1 Variables Included in the Measure of Economic Distance;81
5.1.4.2;4.2 Construction of the Distance Score;81
5.1.4.3;4.3 Construction of the Weights Matrix;82
5.1.5;5 Data and Empirical Results;82
5.1.5.1;5.1 Data Compilation and Data Construction;82
5.1.5.1.1;5.1.1 PPP Data;82
5.1.5.1.2;5.1.2 Socio-Economic Variables Included in the Price Level Regression;83
5.1.5.1.3;5.1.3 Covariance Variables;83
5.1.5.2;5.2 Empirical Evidence;84
5.1.5.2.1;5.2.1 Parameter Estimates and Tests for Spatial Correlation;84
5.1.5.2.2;5.2.2 PPP Predictions and Prediction Performance;90
5.1.6;6 Conclusions;98
5.1.7;7 Appendix: The Construction of the Economic Distance Measure used in the PCW;98
5.1.7.1;. Variables Included in the Construction;98
5.1.7.2;. Estimation;99
5.1.7.3;. Descriptive Statistics for the Variables used to Construct the PCW. Selected Countries Shown.;103
5.1.8;References;103
5.2;Price Indexes across Space and Time and the Stochastic Properties of Prices;105
5.2.1;1 Introduction;105
5.2.2;2 Existing Literature;106
5.2.3;3 Price Behaviour and Price Indexes;108
5.2.4;4 A Simulation Experiment;113
5.2.4.1;4.1 Ensemble Indexes;115
5.2.4.2;4.2 Time-Based Indexes;117
5.2.4.3;4.3 Space-Based Indexes;118
5.2.5;5 Application to Real Data;119
5.2.6;6 Conclusion;120
5.2.7;References;121
5.3;Intra-National Price Level Differentials: The Italian Experience;123
5.3.1;1 Data Source and Survey Framework;123
5.3.1.1;1.1 The Usefulness of Existing CPI Data;124
5.3.1.2;1.2 The Direct Integrating Surveys;125
5.3.2;2 Basic Methodology;127
5.3.3;3 Main Results;128
5.3.4;References;138
6;Part III Subindexes;139
6.1;Consumer Price Indexes: An Analysis of Heterogeneity Across Sub-Populations;140
6.1.1;1 Introduction;140
6.1.2;2 Definition of Experimental Price Indexes;141
6.1.3;3 Data;145
6.1.3.1;3.1 Harmonisation of HBS and CPI Data;145
6.1.3.2;3.2 Weights' Identification;146
6.1.3.3;3.3 Identification of Sub-Groups;147
6.1.4;4 Results;149
6.1.4.1;4.1 Weights' Effects;149
6.1.4.2;4.2 Effects of Aggregation System;152
6.1.4.3;4.3 Changing Basket;153
6.1.5;5 Final Remarks;154
6.1.6;References;155
6.2;Price Dispersion: The Case of Pasta;157
6.2.1;1 Introduction and Problem Definition;157
6.2.2;2 Pasta Scanner Dataset Description and Price Dispersion;158
6.2.3;3 Comparability and Representativity: List of Common Brands and List of Common Products;161
6.2.4;4 Notation and Methodological Issues;165
6.2.5;5 Results and Discussion;166
6.2.6;6 Conclusion and Future Work;170
6.2.7;References;172
6.3;Measuring the Production of Non-Market Services;173
6.3.1;1 Introduction;173
6.3.2;2 Terminology;175
6.3.3;3 Different Meanings of Outcome;175
6.3.4;3 Competitive Markets, No Quality Change in Products;177
6.3.4.1;3.1 The Consumer Side;177
6.3.4.2;3.2 The Producer Side;179
6.3.5;4 Non-Market Production, no Quality Change;180
6.3.6;5 Non-Market Production and Quality Change;183
6.3.6.1;5.1 Direct Outcome, Stratification and Implicit Quality Adjustment;183
6.3.6.2;5.2 Indirect Outcome and Quality Adjustment Through Re-Definition of Products;184
6.3.6.3;5.3 Outcome and Explicit Quality Adjustment;187
6.3.7;6 Box 1. Why Narrow Specifications of Products may not always be Sufficient to Capture Quality Change;188
6.3.7.1;5.4 Output as the Marginal Contribution to Direct Outcome;189
6.3.8;6 Outcome-based Measures of Health Services: A UK Example;190
6.3.9;6 Conclusions;191
6.3.10;References;192
7;Part IV Price Indexes in National Accounts;194
7.1;Total Factor Productivity Surpluses and Purchasing Power Transfers: An Application to the Italian Economy;195
7.1.1;1 Introduction;195
7.1.2;2 Basic Concepts of Constant Price Measures in the National Account;196
7.1.3;3 Double Deflation and Productivity Analysis;198
7.1.4;4 The Transfer of Productivity Gains;199
7.1.4.1;4.1 The Distribution Process of the TFP Surpluses: The Case of Italy for the Period 1995--2002;200
7.1.5;5 The Purchasing Power Transfer (PPT);204
7.1.5.1;5.1 TFP and Market Surpluses in Italy, for the Period 1995--2002;207
7.1.6;6 Conclusion;209
7.1.7;References;209
7.2;Jointly Consistent Price and Quantity Comparisons and the Geo-Logarithmic Family of Price Indexes;211
7.2.1;1 Introduction;211
7.2.2;2 Notation;212
7.2.3;3 The Axioms for Price and Quantity Indexes;214
7.2.3.1;3.1 Properties of the Cofactor of a Price Index;215
7.2.4;4 The Geo-Logarithmic Family;216
7.2.4.1;4.1 Axiomatic Properties of Geo-Logarithmic Price Indexes;218
7.2.4.2;4.2 Properties of the Cofactors of Geo-Logarithmic Price Indexes;221
7.2.5;5 Extension of the Geo-Logarithmic Family;222
7.2.5.1;5.1 PCH Preserving Transformations;223
7.2.5.2;5.2 Closure of the Geo-Logarithmic Family;223
7.2.6;6 Conclusion;223
7.2.7;7 Appendix: proof of inequality (36);224
7.2.8;References;225
8;Part V Price Indexes in Financial Markets;227
8.1;Common Trends in Financial Markets;228
8.1.1;1 Introduction;228
8.1.2;2 The Data;229
8.1.3;3 Methodological Issues: The Conditionally Heteroskedastic Co-Integration Model;234
8.1.3.1;3.1 Heteroskedasticity-Robust Cointegrating Rank Determination;236
8.1.4;4 The Empirical Analysis;237
8.1.5;5 Conclusions;240
8.1.6;References;241
8.2;An Application of Index Numbers Theory to Interest Rates;242
8.2.1;1 Introduction;242
8.2.2;2 Binary Indices and Interest Rates;243
8.2.3;3 From Binary Index to Multiple Period Index;245
8.2.4;4 Application of Indices to MIR - January 2003 to October 2008;247
8.2.5;5 Conclusion;250
8.2.6;References;251
8.3;Sector Price Indexes in Financial Markets: Methodological Issues;252
8.3.1;1 Introduction;252
8.3.2;2 Methodological Issues;253
8.3.2.1;2.1 A New Stock's Classification;253
8.3.2.2;2.2 Sector Price Index Numbers;255
8.3.3;3 The Data;257
8.3.4;4 The Results;260
8.3.4.1;4.1 The Estimation of the Latent Class Model;260
8.3.4.2;4.2 The Synthetic Price Index Numbers;262
8.3.4.3;4.3 The Implications for Portfolio Analysis;264
8.3.5;5 Conclusions;266
8.3.6;References;267