Replication data for: Relative Goods' Prices and Pure Inflation (doi:10.7910/DVN/ZZCOBI)

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Replication data for: Relative Goods' Prices and Pure Inflation

doi:10.7910/DVN/ZZCOBI

Harvard Dataverse

2008-12-19

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Ricardo Reis; Mark W. Watson, 2008, "Replication data for: Relative Goods' Prices and Pure Inflation", https://doi.org/10.7910/DVN/ZZCOBI, Harvard Dataverse, V1

Replication data for: Relative Goods' Prices and Pure Inflation

doi:10.7910/DVN/ZZCOBI

Ricardo Reis (Columbia University)

Mark W. Watson (Princeton University)

2007

Harvard Dataverse

Ricardo Reis

2008

2007-11

https://doi.org/10.7910/DVN/ZZCOBI

Inflation, Relative prices, Dynamic Factor Models, Phillips relation

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.

<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a>

Reis, Ricardo A. 2007. "Relative Goods' Prices and Pure Inflation", with Mark W. Watson. <a href="http://www.columbia.edu/~rr2572/papers/RWpure.pdf" target= "_new"> article available here </a>

Reis, Ricardo A. 2007. "Relative Goods' Prices and Pure Inflation", with Mark W. Watson. <a href="http://www.columbia.edu/~rr2572/papers/RWpure.pdf" target= "_new"> article available here </a>

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Bai_ng_figure1.gss

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Figure 1 (and Bai-Ng) results: These are computed in bai_ng_figure1.gss. The figure is plotted in rw_figures_november09_2007.xls

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datat.xls

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The inflation data are contained in the excel file

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Data_Appendix.gss

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Table A1 (Data appendix)

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figure2.gss

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Figure 2: These results are computed in figure2.gss.The figure is plotted in rw_figures_november09_2007.xls

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figure4.gss

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Figure 4: graph is constructed in this file

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macvars_in.gss

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Macro variables are contained in a variety of ASCII files. These are input using the program macvars_in.gss (where the series are internally documented)

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npi_em_4.gss

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The parameters for the models with the unit factor loading constraint are estimated in NPI_EM_4.GSS (user supplied parameters on the top of the program govern the specifics of the model).

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npi_em_5.gss

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The parameters for the models without the unit factor loading constraint are estimated in NPI_EM_5.GSS (user supplied parameters on the top of the program govern the specifics of the model).

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pce_nominal_ourseries.xls

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contains the names of the pce categories

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pc_estimates.gss

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Principal Components Estimates with unit factor loading on a(t): These estimates are computed in this file

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pureinflation_replicationfiles_november09_2007.zip

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Zip file containing data for this study in original formats

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readme_RW_November9_2007.txt

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Detailed information on the data and the program files

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RW_Factors.xls

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Estimates from v_estimates_kalman_csv.gss

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rw_figures_november09_2007.xls

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Plotted results from Figures 1 and 3

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Table1_pt1.gss

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Table 1: Results computed in Table1_pt1.gss and Table1_pt2.gss

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Table1_pt2.gss

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Table 1: Results computed in Table1_pt1.gss and Table1_pt2.gss

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Table2_a.gss

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Table 2: Results computed in Table2_a.gss, Table2_b.gss, Table2_c.gss, Table2_d.gss.

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Table2_b.gss

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Table 2: Results computed in Table2_a.gss, Table2_b.gss, Table2_c.gss, Table2_d.gss.

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Table2_c.gss

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Table 2: Results computed in Table2_a.gss, Table2_b.gss, Table2_c.gss, Table2_d.gss.

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Table2_d.gss

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Table 2: Results computed in Table2_a.gss, Table2_b.gss, Table2_c.gss, Table2_d.gss.

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table3_a.gss

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Table 3: Results computed in Table3_a.gss, Table3_b.gss, Table3_c.gss.

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table3_b.gss

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Table 3: Results computed in Table3_a.gss, Table3_b.gss, Table3_c.gss.

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table3_c.gss

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Table 3: Results computed in Table3_a.gss, Table3_b.gss, Table3_c.gss.

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table4.gss

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Table 4: Results computed in Table4.gss

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Table5.gss

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Table 5: Results computed in Table5.gss

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Table6_col3_kalman.gss

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Col 3: Parametric factor model results are computed in TABLE6_COL3_KALMAN.GSS, where the parameters at the top are changed to match the various Factor Estimates

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Table6_col3_pc.gss

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Col 3: Parametric factor model results are computed in TABLE6_COL3_PC.GSS, where the parameters at the top are changed to match the various Factor Estimates

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Table6_col4_d.gss

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Col 4: "D" specifications are computed in TABLE6_COL4_D.GSS, where the parameters at the top are changed to match the various Factor Estimates

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Table6_col4_l.gss

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Col 4: "L" specifications are computed in TABLE6_COL4_L.GSS, where the parameters at the top are changed to match the various Factor Estimates

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table6_col5_d.gss

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Col 5: "D" specifications are computed in TABLE6_COL5_D.GSS, where the parameters at the top are changed to match the various Factor Estimates

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table6_col5_l.gss

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Col 5: "L" specifications are computed in TABLE6_COL5_L.GSS, where the parameters at the top are changed to match the various Factor Estimates

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Table6_col67_d.gss

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Col 6 and 7: "D" specifications are computed in TABLE6_COL67_D.GSS, where the parameters at the top are changed to match the various Factor Estimates

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Table6_col67_l.gss

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Col 6 and 7: "L" specifications are computed in TABLE6_COL67_L.GSS, where the parameters at the top are changed to match the various Factor Estimates

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v_estimates_kalman.gss

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Figure 3: Computation and graphs in v_estimates_kalman.gss

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v_estimates_kalman_csv.gss

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Estimated of v(t)-v(t-1), the relative price factors R(t) and a(t) (using the normalization described in the text) for the benchmark model are computed in this file

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v_estimates_pc.gss

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Figure 4: Computation of dv for PC estimator is in v_estimates_pc.gss

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