Advertisement

Dynamics of Commodity Price Fluctuations in Japan

  • Yoshi FujiwaraEmail author
  • Hideaki Aoyama
  • Hiroshi Iyetomi
  • Hiroshi Yoshikawa
Conference paper
Part of the Springer Proceedings in Complexity book series (SPCOM)

Abstract

Deflation is a most important economic problem having been faced by Japan, and also developed countries in Europe, under zero interest rate. How individual prices influence each other, namely the dynamics of a large number of commodity prices and fluctuations plays a crucial role there. By using hundreds of individual commodities and their prices that comprise the import price, corporate goods price and consumer price indices, we show that price fluctuations have frequencies and synchronizations specific to space and time. Space means industrial sectors for the commodities and how they are located in the supplier-customer network. Temporal structure includes background movement due to deflation, inflation and exogenous shocks such as VAT (consumption tax) rate changes, the Lehman shock and so forth, but also endogenous shocks or mutual influences among the commodities.

Keywords

Interest Rate Monetary Policy Price Index Price Change Money Supply 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgments

We would like to thank anonymous referees for improving the paper. We are also grateful to Y. Ikeda, W. Souma, T. Watanabe and Y. Yajima for comments, and also K. Itoh and N. Shinozaki (both at NHK—Japan Broadcasting Corporation) for partial help in classification of the CPI data. We thank participants of seminars at the Bank of Japan, the University of Tokyo, and the Research Institute of Economy, Trade and Industry for comments.

This work is partially supported by Grant-in-Aid for Scientific Research (KAKENHI) Grant Numbers 24243027 and 25282094 by JSPS, and also in part by the Kyoto University Supporting Program for Interaction-based Initiative Team Studies: SPIRITS, as part of the Program for Promoting the Enhancement of Research Universities, MEXT, Japan.

References

  1. 1.
    Altissimo, F., Mojon, B., Zaffaroni, P.: Fast micro und slow macro: Can aggregation explain the persistence of ination? manuscript, fRB of Chicago Working Paper No. 2007-02 (2007)Google Scholar
  2. 2.
    Bank of Japan: Outline of statistics and statistical release schedule. https://www.boj.or.jp/en/statistics/outline/exp/pi/excgpi02.htm/ (2014)
  3. 3.
    Basawa, I.V., Prakasa Rao, B.L.S.: Statistical Inference for Stochastic Processes. Academic Press (1980)Google Scholar
  4. 4.
    Calvo, G.A.: Staggered prices in a utility-maximizing framework. J. Monetary Econ. 12(3), 383–398 (1983)CrossRefGoogle Scholar
  5. 5.
    Carvalho, C.: Heterogeneity in price stickiness and the real effects of monetary shocks. Front. Macroecon. 2(1), article 1 (2006)Google Scholar
  6. 6.
    Gordon, R.J.: The history of the Phillips curve: consensus and bifurcation. Economica 78(309), 10–50 (2011)CrossRefGoogle Scholar
  7. 7.
    Klenow, P.J., Malin, B.A.: Microeconomic evidence on price-setting. In: Friedman, B.H., Woodford, M. (eds.) Handbook of Monetary Economics, vol. 3A, chap. 6. North-Holland (2011)Google Scholar
  8. 8.
    Statistics Bureau: Consumer price index. http://www.stat.go.jp/english/data/cpi/index.htm (2014)
  9. 9.
    Stock, J.H., Watson, M.W.: Forecasting inflation. J. Monetary Econ. 44(2), 293–335 (1999)CrossRefGoogle Scholar
  10. 10.
    Stock, J.H., Watson, M.W.: Handbook of Macroeconomics, chap. Business Cycle Fluctuations in U.S. Macroeconomic Time Series, pp. 3–64. Elsevier, Amsterdam, The Netherlands (1999)Google Scholar
  11. 11.
    Yoshikawa, H., Aoyama, H., Fujiwara, Y., Iyetomi, H.: Deflation/Inflation Dynamics: Analysis Based on Micro Prices. http://ssrn.com/abstract=2565599 (2015)

Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  • Yoshi Fujiwara
    • 1
    Email author
  • Hideaki Aoyama
    • 2
  • Hiroshi Iyetomi
    • 3
  • Hiroshi Yoshikawa
    • 4
  1. 1.Graduate School of Simulation StudiesUniversity of HyogoKobeJapan
  2. 2.Graduate School of SciencesKyoto UniversityKyotoJapan
  3. 3.Department of MathematicsNiigata UniversityNiigataJapan
  4. 4.Graduate School of EconomicsThe University of TokyoTokyoJapan

Personalised recommendations