Asset Price Fluctuation and Price Indices

Since the late 1980s, the Japanese economy has experienced tremendous rise and fall of asset prices and large fluctuations of real economic activity, while the general price level has remained relatively stable. Such developments have raised the question of whether monetary policy should target asset prices rather than conventional price indices. This paper focuses on how to make use of information inherent with asset price fluctuations in the monetary policy judgment. To this end, it investigates the possibility of incorporating asset price data into inflation measures by extending the conventional price index concept into a dynamic framework. The main conclusion of this paper is as follows. Although the concept of such extensions of the conventional price index is highly evaluated from a theoretical viewpoint, it is difficult for monetary policy makers to expect it to be more than a supplementary indicator for monetary policy judgment. This is because (1) reliability of asset price statistics is quite low, compared with the conventional price indices; and (2) asset price changes do not necessarily mean that the future price changes, because there are a lot of sources for asset price fluctuation besides the private-sector expectation for inflation.

Output and Price Fluctuations in China's Reform Years: What Role did Money Play?

money, output fluctuation, price fluctuation, structural VEC model, China

Coarse-graining and Self-similarity of Price Fluctuations

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.Comment: 9 pages, 3 figure

Research on the Law of Garlic Price Based on Big Data

In view of the frequent fluctuation of garlic price under the market economy and the current situation of garlic price, the fluctuation of garlic price in the circulation link of garlic industry chain is analyzed, and the application mode of multidisciplinary in the agricultural industry is discussed. On the basis of the big data platform of garlic industry chain, this paper constructs a Garch model to analyze the fluctuation law of garlic price in the circulation link and provides the garlic industry service from the angle of price fluctuation combined with the economic analysis. The research shows that the average price rate of the price of garlic shows “agglomeration” and cyclical phenomenon, which has the characteristics of fragility, left and a non-normal distribution and the fitting value of the GARCH model is very close to the true value. Finally, it looks into the industrial service form from the perspective of garlic price fluctuation

Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets

In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and of changes due to external perturbations reflecting the absence of detailed balance, i.e., of the validity of the fluctuation-dissipation theorem. We found that fundamental price drops are followed by an overshoot with a rather robust characteristic time.Comment: 11 pages, 5 figures, 2 tables; submitted to Physica

Dampak Inflasi, Fluktuasi Harga Minyak Dan Emas Dunia Terhadap Nilai Tukar Rupiah Dan Pertumbuhan Ekonomi (Studi Pada Tahun 2004-2013)

This research aims to analize the influence of inflation, world oil price fluctuation and world gold variabel on Rupiah exchange rate and economic growth. The kind of research is explanotory research by using quantitative approach. This research used secondary data (time series) period 2004 to 2013. Data analysis method used is multiple linear regression analysis. The results showed: Inflation has no significant influence on Rupiah exchange rate but has significant influence on economic growth. World oil price fluctuation has significant influence on the Rupiah exchange rate and economic growth. World gold fluctuation has significant influence on Rupiah exchange rate but has no significant influence on economic growth. Inflation, world oil price fluctuation and world gold fluctuation influence on Rupiah exchange rate and economic growth