POS POS JEL Classification Number: E30 Keywords: ; POS ; ; ; 18GS0101

Transcription

1 JSPS Grants-in-Aid for Creative Scientific Research Understanding Inflation Dynamics of the Japanese Economy Working Paper Series No.27 企業出荷価格の粘着性ーアンケートと POS データに基づく分析ー 阿部修人外木暁幸渡辺努 September 22, 2008 Research Center for Price Dynamics Institute of Economic Research, Hitotsubashi University Naka 2-1, Kunitachi-city, Tokyo , JAPAN Tel/Fax: hit-u acjp/~ifd/

2 POS POS JEL Classification Number: E30 Keywords: ; POS ; ; ; tsutomu.w@srv.cc.hit-u.ac.jp 18GS0101

3 1 POS Bils and Klenow (2004) Nakamura and Steinsson (2008) Mankiw (1985) 1 duration dependence 3 1 Calvo (1983) Blinder et al. (1998) 2 Blinder et al. (1998) 1 2 Blinder et al (1998) 1 Blinder et al. (1998) 2 Hall et al. (2000) Fabiani et al. (2007) Apel et al. (2005) Amirault et al. (2004) (2000) 2

4 2 POS POS Bils and Klenow (2004) POS price review POS Q1 Q7 2 Q8 Q11 price review 3 Q12 Q22 4 Q POS POS

5 SCI % Nominal rigidity Real rigidity 2 4 JAN Sheshinski and Weiss 1977; Akerlof and Yellen 1985; Mankiw 1985 Mankiw and Reis (2002) Sticky information Woodford (2008) Okun (1981) Rotemberg (2005) Faireness Kimball (1995) 1 Q22 90% 6% % 10 87% % 96% 4

6 20% 74% Carlton (1986) 5 2 Q % 16% 12% % 13% % 6% Woodford (2008) price review 6 3 Q10 9% 33% 6 POS 5

7 60% % % Q % 1 23% % % 10% % 1 34% % 1 24% 9 Saito and Watanabe (2007) POS price duration POS (2000) % % 3-4 7% 5 7% Saito and Watanabe (2007) price duration price duration price duration

8 5 23% 21% 10 5 Q POS ( POS) POS GMS POS POS F it s i s 1 0 Fit s M s it i % 13 N s it 7(A)

9 7(B) p s it = α 0i + β 0i T i + ϵ s 0it M s it = α 1i + β 1i T i + ϵ s 1it N s it = α 2i + β 2i T i + ϵ s 2it p s it i s t (1) (2) (3) 3 Mit s N it s T i 1 0 α ϵ s 6 10% 36% ln p s it = M s it = N s it = 3 γ 0ij D j + ω0it s j= 5 3 γ 1ij D j + ω1it s j= 5 3 γ 2ij D j + ω2it s j= D D 1 D 1 D D 5 15 D 4 17 D 3 24 D 0 26 (2007) D

10 14 Nakamura (2008) Hosken and Reiffen (2004) Nakamura (2008) AC Nielsen % 16% Hosken and Reiffen (2004) CPI 15 1 CPI POS POS 2 3 CPI POS [1] (2007) No. 07-J POS Nakamura (2008) Hosken and Reiffen (2004) [2] (2000), [3] Akerlof, G. A., and J. L. Yellen (1985), A Near-Rational Model of the Business Cycle, with Wage and Price Inertia, Quarterly Journal of Economics 100(Supplement),

11 [4] Amirault, D., C. Kwan, and G. Wilkinson (2004), A survey of the price setting behviour of Canadian firms, Bank of Canada Review, Winter , [5] Apel, M., R. Friberg, and K. Hallsten (2005), Microfoundations of macroeconomic price adjustment: Survey evidence from Swedish firms, Journal of Money, Credit and Banking 37, [6] Bils, M., and P. J. Klenow (2004). Some Evidence on the Importance of Sticky Prices, Journal of Political Economy 112(5), [7] Blinder, A. S., E. R. D. Canetti, D. E. Lebow, and J. B. Rudd (1998), Asking about Prices: A New Approach to Understanding Price Stickiness, New York: Russell Sage Foundation. [8] Calvo, Guillermo A. (1983). Staggered Prices in a Utility-Maximizing Framework, Journal of Monetary Economics 12, [9] Carlton, D. W. (1986). The Rigidity of Prices, American Economic Review 76(4), [10] Fabiani, S., C. Loupias, F. Martins, and R. Sabbatini (2007), Pricing Decisions in the Euro Area: How Firms Set Prices and Why, Oxford University Press. [11] Hall, S., M. Walsh, and A. Yates, (2000) Are UK companies prices sticky? Oxford Economic Papers 52, [15] Makiw, H. G., and R. Reis (2002), Sticky information versus sticky prices: A proposal to replace the New Keynesian Phillips Curve, Quarterly Journal of Economics 117, [16] Nakamura, E. (2008), Pass-Through in Retail and Wholesale, American Economic Review, forthcoming. [17] Nakamura, E., and J. Steinsson (2008). Five Facts about Prices: A Reevaluation of Menu Cost Models, Quarterly Journal of Economics, forthcoming. [18] Okun, A. (1981), Prices and Quantities: A Macroeconomic Analysis, The Brookings Institution. [19] Rotemberg, J. J. (2005), Customer anger at price increases, changes in the frequency of price adjustment, and monetary policy, Journal of Monetary Economics 52, [20] Saito, Y., and T. Watanabe (2007), Menu Costs and Price Change Distributions: Evidence from Japanese Scanner Data, Research Center for Price Dynamics Working Paper Series No.17. [21] Sheshinski, E., and Y. Weiss (1977). Inflation and Costs of Price Adjustment, Review of Economic Studies 44(2), [22] Woodford, M. (2008), Information-Constrained State-Dependent Pricing, Columbia University. [12] Hosken, D., and D. Reiffen (2004), Patterns of Retail Price Variation, Rand Journal of Economics 35(1), [13] Kimball, M. S. (1995), The Quantitative Analytics of the Basic Neomonetarist Model, Journal of Money, Credit and Banking 27, [14] Mankiw, N. G. (1985), Small menu costs and large business cycles: A macroeconomic model of monopoly, Quarterly Journal of Economics 100,

12 1: % % % % % 2: % % % % % 3: % % % % % 11

13 4: :

14 表 6 価格および価格改定頻度 特売頻度の変化の検定 ( 水準 ) 最頻値価格 中央値価格 平均値価格 価格改定頻度 特売頻度 商品 価格改定時期 価格改定後ダミー 定数項 観測数 R^2 価格改定後ダミー 定数項 観測数 R^2 価格改定後ダミー 定数項 観測数 R^2 価格改定後ダミー 定数項 観測数 R^2 価格改定後ダミー 定数項 観測数 R^2 番号 年 月 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 係数 標準偏差 (2.607) (0.981)*** (2.618) (0.985)*** (2.490) (0.937)*** (3.446) 51.3 (1.296)*** (6.085)*** 43.2 (2.289)*** (20.000) (2.280)*** (0.851)*** (2.143)*** (0.800)*** (2.091)*** (0.781)*** (4.374)** 65.0 (1.633)*** (5.298)*** 33.0 (1.978)*** (0.072) (0.042)*** (0.074) (0.044)*** (0.061) (0.036)*** (11.962) 40.8 (7.106)*** (31.623) (24.495)*** (31.623) (24.495)*** (31.623) (24.495)*** (20.833) 0.0 (16.137) (20.833) 0.0 (16.137) (0.666)*** (0.422)*** (0.769)*** (0.487)*** (1.191)*** (0.753)*** (3.005)** 31.9 (1.901)*** (2.124)** 17.5 (1.343)*** (8.517)*** (5.915)*** (8.498)*** (5.902)*** (7.432)*** (5.162)*** (4.765)** 63.5 (3.309)*** (5.905)** 55.7 (4.101)*** (2.579) (1.710)*** (2.463) (1.634)*** (2.583)* (1.714)*** (4.302) 47.2 (2.854)*** (3.386) 18.7 (2.246)*** (3.248) (1.624)*** (2.158)* (1.079)*** (8.012) 67.4 (4.006)*** (7.292) 48.7 (3.646)*** (2.618)** 86.3 (1.714)*** (2.618)** 86.3 (1.714)*** (2.318)** 84.5 (1.518)*** (7.583) 64.3 (4.964)*** (4.531) 11.3 (2.966)*** (5.981) (3.767)*** (6.244) (3.934)*** (6.293) (3.964)*** (4.348) 37.5 (2.739)*** (5.320) 69.3 (3.352)*** (1.562) (0.584)*** (1.537) (0.575)*** (1.531) (0.573)*** (4.148) 44.8 (1.552)*** (1.313) 3.4 (0.491)*** (10.372) (3.754)*** (10.405) (3.766)*** (10.402) (3.765)*** (9.440)*** 24.7 (3.338)*** (6.241)*** 6.1 (2.259)*** (0.913)*** (0.913)*** (0.945)*** (3.564)*** (6.084)*** (4.711)*** (2.281)*** (4.644)*** (2.249)*** (4.299)*** (2.082)*** (4.964) 52.6 (2.404)*** (1.197) 5.2 (0.579)*** (2.809) (1.622)*** (2.815) (1.625)*** (2.966) (1.712)*** (4.478)* 42.9 (2.586)*** (4.690) 12.7 (2.708)*** (0.803)*** (0.510)*** (0.875)*** (0.556)*** (0.736)*** (0.468)*** (2.607) 72.3 (1.656)*** (2.473)*** 46.2 (1.571)*** (2.202)*** (1.202)*** (2.187)*** (1.194)*** (1.958)*** (1.069)*** (2.797)* 43.8 (1.527)*** (3.904) 47.8 (2.131)*** (5.057) (1.939)*** (4.930) (1.891)*** (4.461) (1.711)*** (8.136) 67.3 (3.120)*** (7.843) 24.3 (3.007)*** (10.429) (3.907)*** (10.426) (3.906)*** (10.368) (3.884)*** (10.759) 37.1 (4.031)*** (16.555) 28.3 (6.202)*** (0.330)*** 97.6 (0.204)*** (0.406)*** 96.6 (0.251)*** (0.320)*** 94.3 (0.198)*** (2.005)*** 63.3 (1.240)*** (2.796)*** 51.6 (1.729)*** (0.503) 95.0 (0.318)*** (0.503) 95.0 (0.318)*** (0.351) 94.2 (0.222)*** (9.147)** 65.1 (5.785)*** (6.955) 18.6 (4.399)*** (0.772)*** 95.4 (0.490)*** (0.837)*** 94.8 (0.531)*** (0.699)*** 91.4 (0.443)*** (2.984)*** 66.7 (1.894)*** (4.287) 57.5 (2.721)*** (5.168)*** (3.288)*** (5.128)*** (3.263)*** (5.101)*** (3.245)*** (2.607)*** 32.5 (1.660)*** (2.712) 18.3 (1.725)*** (19.268) (13.624)*** (19.278) (13.632)*** (18.212) (12.878)*** (9.985) 61.7 (7.060)*** (10.556) 16.5 (7.464)** (4.043) (2.545)*** (4.336) (2.729)*** (3.396) (2.138)*** (2.083) 72.1 (1.311)*** (2.670)*** 52.7 (1.681)*** (3.317) (1.748)*** (3.696) (1.948)*** (3.255) (1.715)*** (10.384) 37.9 (5.473)*** (12.629) 46.2 (6.656)*** (8.789)** (4.433)*** (8.753)*** (4.416)*** (8.149)*** (4.111)*** (4.139) 49.7 (2.092)*** (6.017)*** 54.8 (3.035)*** (0.631) (0.414)*** (1.098) (0.720)*** (1.405) (0.921)*** (3.559) 70.5 (2.339)*** (3.660) 30.2 (2.399)*** (4.490) (2.291)*** (4.516) (2.305)*** (4.269) (2.179)*** (2.744)*** 49.0 (1.401)*** (2.411) 16.4 (1.231)*** (40.397)* (27.988)*** (41.920)* (29.043)*** (41.830)* (28.981)*** (16.801)* 46.9 (11.619)*** (15.183) 16.9 (10.519) (5.117) (3.032)*** (5.117) (3.032)*** (5.132) (3.041)*** (4.974) 11.2 (2.947)*** (9.853) 32.1 (5.838)*** (2.139)*** 83.1 (1.381)*** (2.131)*** 83.1 (1.376)*** (2.134)*** 82.5 (1.378)*** (7.829) 48.8 (5.054)*** (7.839) 25.8 (5.060)*** (2.926) (2.244)*** (2.977) (2.283)*** (2.977) (2.283)*** (16.876) 8.3 (14.615) (12.942) 14.3 (9.926) (0.252)*** (0.277)*** (0.259)*** (2.430)*** (2.716)*** (4.803) (2.402)*** (5.097) (2.549)*** (4.542) (2.271)*** (6.820) 46.4 (3.410)*** (4.451) 22.1 (2.225)*** (1.553) (0.896)*** (1.700) (0.982)*** (1.574) (0.909)*** (2.894) 33.5 (1.671)*** (4.831) 40.7 (2.789)*** (3.911) (2.387)*** (3.633) (2.217)*** (2.435) (1.486)*** (2.532) 60.2 (1.545)*** (3.416)*** 75.1 (2.085)*** (0.589) (0.367)*** (0.932) (0.580)*** (5.519) 16.9 (3.436)*** (3.440) 6.6 (2.142)*** (1.928) (1.225)*** (1.936) (1.231)*** (1.842) (1.171)*** (1.839) 17.7 (1.169)*** (2.627) 25.0 (1.670)*** (2.269)* (1.442)*** (2.272)** (1.444)*** (2.227)** (1.415)*** (1.955) 14.8 (1.243)*** (2.772)*** 19.4 (1.762)*** (2.031) (1.294)*** (1.997) (1.272)*** (1.900) (1.210)*** (3.311) 37.7 (2.109)*** (3.343)*** 12.3 (2.129)*** (6.457) (3.893)*** (6.980) (4.209)*** (6.444)* (3.886)*** (6.205)** 11.5 (3.742)*** (12.120)* 28.1 (7.309)*** (0.249) (0.144)*** (0.249) (0.144)*** (0.582)* (0.336)*** (2.369)** 1.0 (1.368) (1.799)* 0.7 (1.039) (11.024) (4.167)*** (11.050) (4.177)*** (44.140) 45.0 (16.683)** (22.048) 11.7 (8.333) (0.729)*** (0.461)*** (0.728)*** (0.461)*** (0.732)*** (0.463)*** (2.015)** 42.7 (1.274)*** (2.316)*** 31.3 (1.465)*** (4.828) (3.781)*** (4.823) (3.777)*** (4.559) (3.570)*** (6.478) 29.8 (5.073)*** (9.211)*** 7.4 (7.213) (11.202) (7.921)*** (11.159) (7.890)*** (10.525) (7.442)*** (6.075) 40.6 (4.295)*** (4.090) 16.5 (2.892)*** (1.182)*** (1.189)*** (1.069)*** (1.488)*** (2.283)*** (0.054) 36.9 (0.034)*** (0.049) 36.8 (0.031)*** (0.042) 36.6 (0.026)*** (2.965) 82.4 (1.875)*** (0.304) 1.0 (0.192)*** (7.106)** (2.787)*** (7.714)*** (3.026)*** (7.282)*** (2.856)*** (12.849)* 81.0 (5.040)*** (13.306)*** 52.0 (5.219)*** (1.390) (0.892)*** (1.417) (0.909)*** (1.321) (0.847)*** (3.461)** 20.3 (2.220)*** (6.150) 28.7 (3.945)*** (13.631)** (7.184)*** (13.414)** (7.070)*** (12.835)** (6.765)*** (10.499) 39.1 (5.534)*** (12.813)** 56.4 (6.753)*** (8.548) (4.171)*** (8.522) (4.158)*** (8.599) (4.196)*** (8.883) 23.1 (4.335)*** (13.647) 60.8 (6.659)*** (3.722) (2.614)*** (3.611) (2.537)*** (3.755) (2.638)*** (6.217) 24.9 (4.368)*** (4.109) 16.9 (2.887)*** (1.749) (1.109)*** (1.748) (1.109)*** (1.683) (1.068)*** (2.749)** 22.5 (1.744)*** (5.534) 43.7 (3.510)*** (3.182) (2.012)*** (3.186) (2.015)*** (3.662) (2.316)*** (6.687) 37.5 (4.229)*** (1.183) 1.5 (0.748)* (5.463)*** (3.489)*** (5.396)*** (3.447)*** (5.230)*** (3.341)*** (2.993) 36.8 (1.912)*** (2.342)** 12.1 (1.496)*** (7.008) (2.774)*** (7.622) (3.017)*** (7.318) (2.897)*** (5.604) 50.1 (2.218)*** (5.978)** 33.2 (2.366)*** (7.482) (2.989)*** (7.517) (3.003)*** (7.242) (2.893)*** (6.295)* 54.6 (2.515)*** (8.436) 64.5 (3.370)*** (2.416) (1.490)*** (2.416) (1.490)*** (2.462) (1.518)*** (4.842) 7.4 (2.985)** (3.209) 4.0 (1.978)** (0.405)*** (1.190) (0.595) (17.107) (9.877)*** (17.107) (9.877)*** (15.145) (8.744)*** (6.617) 16.1 (3.820)*** (14.737) 36.6 (8.509)*** (8.701)*** (5.499)*** (8.820)*** (5.574)*** (8.737)*** (5.522)*** (2.761) 35.3 (1.745)*** (2.388)* 20.4 (1.509)*** (2.328)*** (1.473)*** (2.221)*** (1.405)*** (1.992)*** (1.260)*** (12.239) 27.8 (7.740)*** (3.777)** 0.6 (2.389) (2.179) 83.5 (0.500)*** (2.389) 83.1 (0.548)*** (2.381) 83.1 (0.546)*** (39.418) 24.7 (9.043)** (28.167) 11.1 (6.462) (1.820)*** (0.916)*** (1.803)*** (0.908)*** (1.632)*** (0.822)*** (3.791) 70.5 (1.909)*** (5.955)*** 57.3 (2.998)*** (13.527)*** (7.492)*** (13.403)*** (7.423)*** (12.828)*** (7.105)*** (6.435)* 36.7 (3.550)*** (5.988)*** 19.7 (3.317)*** (0.932)** (0.466)*** (0.924)** (0.462)*** (0.906)** (0.453)*** (2.948) 71.8 (1.474)*** (0.469)*** 1.4 (0.234)*** (5.399)*** (3.413)*** (5.555)** (3.512)*** (4.912) (3.105)*** (2.508) 39.1 (1.585)*** (2.713)*** 14.9 (1.715)*** (1.939) (1.235)*** (1.961) (1.249)*** (1.963) (1.250)*** (2.519) 40.1 (1.605)*** (3.936)*** 57.6 (2.508)*** (0.122) (0.077)*** (0.306) (0.194)*** (1.473) (0.932)*** (5.129) 82.5 (3.244)*** (4.162) 14.8 (2.632)*** (8.213) (2.904)*** (12.088) (4.274)*** (9.565) (3.382)*** (8.612) 29.3 (3.045)*** (17.134) 29.2 (6.058)*** (3.874) (2.628)*** (3.202) (2.172)*** (3.289) (2.231)*** (6.566)** 55.7 (4.453)*** (8.289)*** 19.7 (5.622)*** (4.686)*** (4.705)*** (4.454)*** (3.946)*** (5.077)*** (1.519)*** 98.0 (0.968)*** (1.531)*** 97.9 (0.977)*** (1.422)*** 97.4 (0.907)*** (4.169) 60.7 (2.658)*** (4.633)*** 16.3 (2.954)*** (8.931)** (3.394)*** (8.983)** (3.414)*** (8.476) (3.221)*** (6.092) 74.1 (2.315)*** (9.397) 52.8 (3.571)*** (2.670)** (1.689)*** (2.800)*** (1.771)*** (2.402)*** (1.519)*** (3.877) 47.0 (2.452)*** (5.087)*** 48.8 (3.217)*** (0.880) (0.440)*** (5.960) 32.1 (2.980)*** (3.456) 14.5 (1.728)*** (1.400) (0.529)*** (1.396) (0.528)*** (1.388) (0.525)*** (3.890) 46.3 (1.470)*** (1.304) 2.4 (0.493)*** (4.568)* (3.038)*** (4.630)** (3.080)*** (4.626)** (3.077)*** (2.976)*** 21.6 (1.985)*** (3.175)* 11.3 (2.112)*** (2.043)*** (0.705)*** (2.210)*** (0.762)*** (2.253)*** (0.777)*** (5.308)** 49.7 (1.831)*** (7.422)*** 53.3 (2.560)*** (3.899)*** (2.466)*** (3.899)*** (2.466)*** (3.021)*** (1.910)*** (0.946)** 0.0 (0.598) (2.070)*** 0.0 (1.309) Note (1): サンプルは1998 年 1 月から2008 年 4 月まで存続した小売店 84 店舗の売上価格の月間最頻値 中央値 平均値 及び価格改定頻度 特売頻度 (2) メーカーの価格改定フラグ月の6か月前からフラグ月の3ヶ月後までのデータを定数項と価格改定後ダミーに回帰している (3)* はt 検定の有意水準を表し *** は棄却域 1% で ** は5% で * は10% でそれぞれ有意

15 表 7-1 変化率による価格改定の検定 ( 被説明変数 : 店舗ごとの月次最頻値価格 ) 説明変数 商品 価格改定時期 D(-5) D(-4) D(-3) D(-2) D(-1) D(0) D(1) D(2) D(3) Obs R^2 番号 年 月 coef std coef std coef std coef std coef std coef std coef std coef std coef std (1.185) (1.194)*** (1.185)*** (1.194)*** (1.194)*** (1.194)*** (0.533) (0.529) (0.542) (0.542) (0.547) (0.542)*** (0.096) (0.068) (0.068)* (0.068) (0.068) (0.096) (0.096) (0.068) (0.068) (0.445) (0.445) (0.445) (0.445) (0.445)* (0.445)*** (0.445) (0.445) (0.445) (7.733) (7.733) (7.733) (7.733) (7.733) (7.733) (7.233) (6.169)* (5.906) (1.613)*** (1.613)*** (1.613) (1.613)*** (1.613)*** (1.613) (1.613) (1.464)* (1.464) (0.195) (0.195) (0.195)*** (0.195) (0.138) (0.138) (0.138) (0.138) (1.161) (1.124)* (1.124)** (1.124)* (1.124)** (1.124)*** (1.161)* (1.142) (1.124) (0.261) (0.261)** (0.263)* (0.261) (0.263) (0.264) (1.900) (2.623) (6.939) (12.019)** (8.498)*** (12.019)** (12.019) (12.019) (3.333) (0.008) (0.008) (1.335) (1.310) (1.310) (1.310) (1.335) (1.361)** (1.389)*** (0.024) (0.024) (0.024) (0.024) (0.024)* (0.024) (0.024)* (0.024)* (0.741) (0.741) (0.741) (0.741) (0.741) (0.735)*** (0.741)*** (0.729)** (0.729)** (1.838)* (1.838) (1.838) (1.864) (1.838) (1.864)*** (2.062)*** (2.483) (4.055)* (1.663)* (1.540) (1.663) (1.663) (1.619) (1.712) (4.074)* (0.653) (0.653) (0.698) (0.653) (0.653)*** (0.653) (0.484) (0.484) (0.480) (0.480) (0.480) (0.480)*** (0.480)* (0.524) (0.528) (1.274) (1.274) (1.274) (1.274) (1.274) (1.274)* (1.274)* (1.274) (1.274) (0.738) (0.685) (0.723) (0.697) (0.769) (0.697)*** (0.697) (0.723) (0.685)** (0.296) (0.293) (0.286) (0.286) (0.279)* (0.281)* (0.283)*** (0.283)*** (0.281)*** (10.728) (9.291)** (18.581)* (18.581) (18.581) (9.291) (10.728)* (10.728) (9.291) (1.094) (1.101) (1.109) (1.087) (1.124) (1.101) (1.101) (1.116) (1.101) (2.381) (2.609) (2.609) (1.845)*** (1.944) (1.944) (2.205) (3.368)*** (5.833)*** (3.336) (3.095) (3.139) (3.185) (3.336) (3.336) (3.095)*** (0.444)* (0.444) (0.444) (0.444)* (0.444)* (0.397) (0.414) (0.405) (0.414) (1.296) (1.273) (1.288) (1.288) (1.296)*** (1.273)* (1.667) (2.288) (3.012) (2.465) (1.423) (1.423) (2.465) (1.743) (1.743)** (1.423) (1.423) (0.380)*** (0.380) (0.344) (0.361) (0.344) (0.344) (0.344) (0.344) (2.037) (2.037)* (2.136) (2.553) (2.758) (2.136)*** (2.136) (2.136) (2.136) (2.529) (2.529) (1.264) (1.131) (1.460) (1.460) (1.032) (0.369) (0.369) (0.369) (0.904)** (1.707) (1.707)*** (1.707)*** (1.707) (1.707) (1.707) (1.707) (1.388)* (1.254)** (1.128)*** (1.179) (1.179) (1.222)* (1.165) (1.193) (3.076)* (3.113) (3.076) (3.076) (3.076) (3.113) (3.152) (3.277) (3.580) (0.705)*** (0.705)** (0.710) (0.710) (0.700) (0.700)*** (0.705)* (0.695)* (0.700) (1.231) (1.231) (1.231) (1.231) (1.231)** (1.217) (1.247) (1.217)*** (1.217)*** (2.359) (2.009)** (2.061) (2.009) (2.009) (2.061) (2.009)*** (2.061) (2.117)*** (6.952) (5.676) (4.916) (4.916) (4.916) (4.916) (4.916)** (4.916) (0.559) (0.559) (0.559) (0.559) (0.559)*** (0.559)* (0.559)*** (0.559) (0.559) (6.484) (7.487) (7.487)*** (9.170) (6.484)*** (3.910) (3.910) (3.910) (3.910) (1.099) (1.099)*** (1.092)*** (1.107) (0.051)** (0.051)* (0.051)** (0.051) (0.051) (0.051) (0.051) (0.051) (0.051) (7.631) (2.884) (2.544) (2.698) (2.698) (4.406) (4.406) (1.435) (1.435) (1.470) (1.470)*** (1.470)*** (1.470) (1.470) (1.402) (1.402) (4.763) (5.092) (6.736)** (6.024) (7.777) (7.777) (7.777) (7.777) (6.736) (0.529)** (0.529) (0.529) (0.529) (0.529) (0.529) (0.565) (0.282) (0.297) (0.282) (0.282) (0.297) (0.282)* (0.297)* (0.307) (0.301) (0.301) (0.314)*** (0.307) (0.314) (0.314) (0.296) (0.296) (2.219)* (2.195) (2.195) (2.219)*** (2.243)*** (2.269)*** (2.322) (2.172)*** (2.128)** (2.048) (1.978)* (2.012) (2.012) (1.946) (1.916) (7.662)*** (0.937) (0.859) (0.842) (0.842) (0.784) (0.784) (3.051) (2.894) (2.894)*** (2.894) (3.051) (3.051)** (3.051) (2.894) (3.051) (2.060) (1.843) (2.060)** (2.379) (2.379) (2.379) (2.379) (2.379) (2.379) (0.756)*** (0.733) (0.738) (0.733)* (0.738) (0.750) (0.738)*** (0.721) (0.756) (0.043) (0.043) (0.043) (0.043) (0.043) (0.043) (0.043) (0.043)*** (0.043)** (1.636) (1.636) (2.313) (2.313) (2.313) (3.272) (1.216) (1.354) (1.194)*** (1.194) (1.194) (1.194)*** (1.194)*** (4.291) (4.397) (4.635)*** (4.770) (5.454)*** (4.916) (5.454) (5.929) (6.555) (0.285) (0.285) (0.285)** (0.285) (0.285) (0.285)*** (0.285)*** (1.714)*** (1.766)* (1.748)*** (1.714)*** (1.784)** (1.748) (1.714) (1.652) (1.698) (0.851)*** (0.835)*** (0.851)** (0.827) (0.827) (0.827) (0.820) (0.827) (0.827)*** (0.058) (0.058) (0.058) (0.058) (0.058) (0.058) (0.058)** (0.058) (0.058) (0.011) (0.010) (0.012)* (0.012)* (0.012) (0.012) (3.941) (3.525) (2.627)** (2.787) (2.492) (2.186) (2.275) (2.627)*** (2.376) (8.855)*** (31.927) (1.901)*** (1.901) (1.901)*** (1.901) (1.901) (1.937)*** (1.867)*** (1.937) (1.937) (2.657) (2.331) (2.657) (2.426) (2.426) (2.331)*** (1.195) (1.195) (1.195) (1.195) (1.195)*** (1.195) (1.195) (1.195) (1.195) (0.212) (0.212)** (0.212)*** (0.212) (0.212) (0.212)** (1.245)*** (1.285)*** (1.227)*** (1.245)** (1.209)** (1.104)*** (1.104)** (1.131)* (1.117) (0.959) (0.959) (0.946) (0.959) (0.959) (1.045)*** Note: (1) サンプルは1998 年 1 月から2008 年 4 月まで存続した小売店 84 店舗の売上価格の月間最頻値の前月比伸び率 (2)* はt 検定の有意水準を表し *** は棄却域 1% で ** は5% で * は10% でそれぞれ有意 (3) 店舗ごとの月次最頻値価格の変化率を価格改定月を基準に事前 5か月, 事後 3か月の時間ダミーに回帰した

16 表 7-2 変化率による価格改定の検定 ( 被説明変数 : 店舗ごとの月次中央値価格 ) 説明変数 商品 価格改定時期 D(-5) D(-4) D(-3) D(-2) D(-1) D(0) D(1) D(2) D(3) Obs R^2 番号 年 月 coef std coef std coef std coef std coef std coef std coef std coef std coef std (1.184) (1.194)*** (1.184)*** (1.194)*** (1.194)*** (1.194)*** (0.515) (0.511) (0.524) (0.524) (0.529) (0.524)*** (0.105) (0.074) (0.074)** (0.074) (0.074) (0.105) (0.105) (0.074) (0.074) (0.510) (0.510) (0.510) (0.510) (0.510)** (0.510)*** (0.510) (0.510) (0.510) (7.655) (7.655) (7.655) (7.655) (7.655) (7.655) (7.161) (6.107)** (5.847) (1.687)** (1.687)*** (1.687)** (1.687) (1.687)*** (1.687)*** (1.687) (1.531) (1.531) (3.128) (3.128) (3.128) (3.128) (3.128)* (3.128)** (3.128) (0.146) (0.146) (0.146)*** (0.146) (0.103) (0.103) (0.103) (0.103) (1.132) (1.096)* (1.096)** (1.096)** (1.096)** (1.096)** (1.132) (1.114) (1.096) (0.266) (0.266)** (0.268)** (0.266) (0.268)* (0.270)* (1.905) (2.629) (6.956) (12.048)** (8.519)*** (12.048)** (12.048) (12.048) (3.341) (0.015) (0.016) (1.301) (1.276) (1.276) (1.276) (1.301) (1.326)*** (1.354)*** (0.046) (0.046) (0.046) (0.046) (0.046) (0.046) (0.046) (0.046)* (0.682) (0.682) (0.682) (0.682)** (0.682) (0.676)*** (0.682)*** (0.671) (0.671)*** (1.910)** (1.910)** (1.910) (1.936) (1.910) (1.936)*** (2.143)*** (2.580) (4.213) (1.466) (1.357) (1.466) (1.466) (1.427) (1.509) (3.591) (0.651) (0.651) (0.696) (0.651) (0.651)*** (0.651) (0.505) (0.505) (0.501) (0.501) (0.501) (0.501)*** (0.501)*** (0.547) (0.551) (1.274) (1.274) (1.274) (1.274) (1.274) (1.274)* (1.274)* (1.274) (1.274) (0.857) (0.795) (0.840) (0.809) (0.893) (0.809)*** (0.809) (0.840) (0.795) (0.270) (0.267) (0.260) (0.260) (0.254)** (0.256) (0.258)*** (0.258)*** (0.256)*** (10.720) (9.284)** (18.568)* (18.568) (18.568) (9.284) (10.720)* (10.720) (9.284) (1.161)* (1.169) (1.177) (1.154) (1.193) (1.169) (1.169)* (1.185) (1.169) (3.542) (3.880) (3.880) (2.743) (2.892) (2.892) (3.279) (5.009)* (8.675)*** (3.466) (3.216) (3.262) (3.310) (3.466) (3.466)*** (3.216)* (0.619) (0.619) (0.619) (0.619) (0.619) (0.553) (0.577) (0.565) (0.577)** (1.430) (1.404) (1.421) (1.421) (1.430)** (1.404)* (1.838) (2.523)** (3.322) (2.462) (1.421) (1.421) (2.462) (1.741) (1.741)** (1.421) (1.421) (0.380)*** (0.380) (0.344) (0.361) (0.344) (0.344) (0.344) (0.344) (1.930) (1.930)** (2.024) (2.419) (2.613) (2.024)*** (2.024) (2.024) (2.024) (2.354) (2.354) (1.177) (1.053) (1.359) (1.359) (0.961) (0.402)* (0.402)* (0.402) (0.984)** (1.820) (1.820)*** (1.820)*** (1.820) (1.820) (1.820) (1.820) (1.539) (1.390)*** (1.250)*** (1.307) (1.307) (1.355) (1.292) (1.322) (2.653)* (2.685) (2.653) (2.653) (2.653) (2.685) (2.719) (2.827) (3.088) (0.599)*** (0.599) (0.599) (0.599) (0.599) (0.599) (0.670) (0.599) (0.599) (0.712)*** (0.712)** (0.717) (0.717) (0.707) (0.707)*** (0.712) (0.702)* (0.707) (1.232) (1.232) (1.232) (1.232) (1.232)** (1.217) (1.247) (1.217)*** (1.217)*** (2.354) (2.004)** (2.057) (2.004) (2.004) (2.057) (2.004)** (2.057) (2.113)*** (8.376) (6.839)** (5.923) (5.923) (5.923) (5.923) (5.923)* (5.923) (0.562) (0.562) (0.562) (0.562)** (0.562)*** (0.562) (0.562)** (0.562) (0.562) (6.349) (7.331) (7.331)*** (8.978) (6.349)*** (3.828) (3.828) (3.828) (3.828) (0.565)*** (0.565)*** (0.565)*** (0.565)*** (0.565)*** (0.565)*** (0.565)*** (1.027) (1.027)*** (1.020)*** (1.034) (0.050) (0.050) (0.050) (0.050) (0.050) (0.050) (0.050) (0.050) (0.050)* (7.912) (2.990) (2.637)** (2.797) (2.797) (4.568) (4.568) (1.526)** (1.526) (1.563) (1.563)*** (1.563)*** (1.563) (1.563) (1.491) (1.491) (5.542) (5.924) (7.837)** (7.010) (9.050) (9.050) (9.050) (9.050) (7.837) (0.641)** (0.641) (0.641) (0.641) (0.641) (0.641) (0.685) (0.393) (0.414) (0.393) (0.393) (0.414) (0.393) (0.414) (0.311) (0.305) (0.305) (0.317)*** (0.311) (0.317) (0.317) (0.299) (0.299) (0.010) (0.010) (0.010) (0.010) (0.010) (0.010) (0.010) (0.010) (0.010) (2.250)* (2.226)** (2.226) (2.250)*** (2.275)*** (2.300)*** (2.355) (2.203) (2.158)* (1.687)** (1.630) (1.658) (1.658) (1.604) (1.578) (6.314)*** (0.818) (0.750) (0.735) (0.735) (0.684) (0.684) (3.051) (2.894) (2.894)*** (2.894) (3.051) (3.051)** (3.051) (2.894) (3.051) (2.060) (1.843) (2.060)** (2.379) (2.379) (2.379) (2.379) (2.379) (2.379) (0.738)*** (0.715) (0.721) (0.715)** (0.721)* (0.732) (0.721)*** (0.704) (0.738) (0.812) (0.812) (0.812) (0.812) (0.812) (0.812) (0.812)** (0.812)*** (0.812) (1.802)* (1.802) (2.548) (2.548) (2.548) (3.603) (1.291) (1.437) (1.267)** (1.267) (1.267) (1.267)*** (1.267)*** (3.921) (4.018) (4.235)*** (4.358) (4.983)*** (4.492) (4.983) (5.418) (5.989) (0.247) (0.247) (0.247)** (0.247) (0.247) (0.247)*** (0.247)*** (1.923)** (1.981) (1.961)*** (1.923)*** (2.002)* (1.961) (1.923) (1.853) (1.905) (0.883) (0.866)*** (0.883)** (0.858) (0.858) (0.858) (0.851) (0.858) (0.858)*** (0.353) (0.353) (0.353) (0.353) (0.353) (0.353) (0.353) (0.353)* (0.353)* (5.080) (4.544) (5.431) (5.431) (5.431)* (5.431)* (2.677) (2.395) (1.785)* (1.893) (1.693) (1.485) (1.546) (1.785)*** (1.614) (8.846)*** (31.896) (1.922)*** (1.922) (1.922)*** (1.922) (1.922) (1.958)*** (1.887)*** (1.958) (1.958) (3.081) (2.702) (3.081)* (2.813) (2.813) (2.702)** (1.313) (1.313) (1.313)*** (1.313) (1.313)*** (1.313) (1.313)** (1.313) (1.313) (0.202) (0.202)** (0.202)** (0.202) (0.202) (0.202)* (1.233)*** (1.272)*** (1.215)*** (1.233)** (1.197)** (1.093)*** (1.093)** (1.120)* (1.106) (0.836) (0.836)** (0.825) (0.836) (0.836) (0.911)*** Note: (1) サンプルは1998 年 1 月から2008 年 4 月まで存続した小売店 84 店舗の売上価格の月間中央値の前月比伸び率 (2)* はt 検定の有意水準を表し *** は棄却域 1% で ** は5% で * は10% でそれぞれ有意 (3) 店舗ごとの月次中央値価格の変化率を価格改定月を基準に事前 5か月, 事後 3か月の時間ダミーに回帰した

17 表 7-3 変化率による価格改定の検定 ( 被説明変数 : 店舗ごとの月次平均値価格 ) 説明変数 商品 価格改定時期 D(-5) D(-4) D(-3) D(-2) D(-1) D(0) D(1) D(2) D(3) Obs R^2 番号 年 月 coef std coef std coef std coef std coef std coef std coef std coef std coef std (1.108) (1.117)*** (1.108) (1.117) (1.117)*** (1.117)*** (0.415) (0.411)* (0.422) (0.422) (0.425)* (0.422)*** (0.107) (0.076) (0.076)* (0.076) (0.076) (0.107) (0.107) (0.076) (0.076) (0.565) (0.565) (0.565) (0.565) (0.565)*** (0.565)*** (0.565) (0.565) (0.565) (7.732) (7.732) (7.732) (7.732) (7.732) (7.732) (7.232) (6.168)* (5.905) (0.883)** (0.883)*** (0.883) (0.883) (0.883)*** (0.883)** (0.883) (0.801) (0.801) (1.737) (1.737) (1.737)** (1.737)* (1.737)* (1.737) (1.737) (1.592) (1.592) (1.592)*** (1.592)** (1.126) (1.126) (1.126) (1.126) (1.001) (0.969)* (0.969)** (0.969)** (0.969)** (0.969)** (1.001) (0.984) (0.969) (0.247) (0.247)*** (0.248)*** (0.247) (0.248) (0.250) (1.876) (2.590) (6.851) (11.867)** (8.391)*** (11.867)** (11.867) (11.867) (3.291) (0.056) (0.060)* (1.169) (1.147) (1.147) (1.147) (1.169) (1.192)*** (1.217)*** (0.219) (0.219) (0.219)*** (0.219)*** (0.219) (0.219) (0.219) (0.219) (0.520) (0.520) (0.520) (0.520)* (0.520) (0.515)*** (0.520)*** (0.511)*** (0.511)*** (1.519)* (1.519)** (1.519) (1.541) (1.519) (1.541)*** (1.705)*** (2.053) (3.352) (1.268) (1.174) (1.268) (1.268) (1.235) (1.305)** (3.107)*** (0.639) (0.639) (0.683) (0.639) (0.639)*** (0.639) (0.419) (0.419) (0.416) (0.416) (0.416) (0.416)*** (0.416) (0.454) (0.458) (0.913) (0.913) (0.913) (0.913) (0.913) (0.913) (0.913) (0.913) (0.913) (0.791) (0.735) (0.776) (0.748) (0.825) (0.748)*** (0.748)** (0.776) (0.735)* (0.248) (0.246) (0.239) (0.239) (0.233) (0.235) (0.237)*** (0.237)*** (0.235)*** (10.325) (8.941)** (17.883)* (17.883) (17.883) (8.941) (10.325)* (10.325) (8.941) (0.774)*** (0.779) (0.785) (0.769) (0.795)* (0.779) (0.779)*** (0.790)*** (0.779)*** (2.509)* (2.749) (2.749) (1.943) (2.049) (2.049) (2.323) (3.548)** (6.146)*** (2.920)* (2.709) (2.748) (2.788) (2.920) (2.920)** (2.709)** (0.657) (0.657) (0.657) (0.657) (0.657) (0.588) (0.613) (0.600)* (0.613)** (1.164) (1.143) (1.156) (1.156) (1.164)*** (1.143)* (1.496) (2.054)** (2.704) (2.806) (1.620) (1.620) (2.806) (1.984) (1.984)** (1.620) (1.620) (0.470)** (0.470) (0.425) (0.446) (0.425) (0.425)** (0.425)** (0.425) (1.823)* (1.823)** (1.912) (2.285) (2.468) (1.912)*** (1.912) (1.912) (1.912) (2.354) (2.354) (1.177) (1.053) (1.359) (1.359) (0.961) (0.228)*** (0.228)*** (0.228)*** (0.557)** (1.718) (1.718)*** (1.718)*** (1.718) (1.718) (1.718) (1.718) (1.175)* (1.062) (0.955)** (0.998) (0.998) (1.035) (0.987) (1.010) (1.374)* (1.391) (1.374) (1.374) (1.374) (1.391) (1.408)** (1.464) (1.600) (1.274) (1.274) (1.274) (1.274) (1.274) (1.274)* (1.425) (1.274)** (1.274) (0.635)*** (0.635)*** (0.640) (0.640) (0.631) (0.631)*** (0.635)* (0.626)** (0.631) (1.195) (1.195) (1.195) (1.195) (1.195)* (1.181) (1.210) (1.181)*** (1.181)*** (2.093) (1.782)** (1.828) (1.782) (1.782) (1.828) (1.782)** (1.828) (1.878)*** (5.724) (4.674)*** (4.047) (4.047)* (4.047) (4.047)** (4.047)*** (4.047) (0.283) (0.303) (0.283) (0.303) (0.283) (0.303)*** (0.283)*** (0.283) (0.493) (0.493) (0.493) (0.493) (0.493)*** (0.493) (0.493)*** (0.493) (0.493) (6.166) (7.120) (7.120)*** (8.720) (6.166)*** (3.718) (3.718) (3.718) (3.718) (0.571)*** (0.571)*** (0.571)*** (0.571)*** (0.571)*** (0.571)*** (0.571)*** (0.846) (0.846)*** (0.841)*** (0.852) (0.048) (0.048) (0.048) (0.048) (0.048) (0.048)* (0.048) (0.048) (0.048) (7.363) (2.783) (2.454)** (2.603) (2.603) (4.251) (4.251) (1.377) (1.377) (1.411) (1.411)*** (1.411)*** (1.411) (1.411) (1.346) (1.346) (4.480) (4.789) (6.335)** (5.667) (7.316) (7.316) (7.316) (7.316) (6.335) (0.802) (0.802) (0.802) (0.802) (0.802) (0.802) (0.858) (0.397) (0.418)** (0.397) (0.397) (0.418) (0.397) (0.418) (0.344) (0.337) (0.337) (0.351)** (0.344) (0.351) (0.351) (0.331) (0.331) (0.446) (0.446) (0.446) (0.446) (0.446)*** (0.446)*** (0.446)** (0.446)** (0.446) (2.005)*** (1.984)** (1.984)** (2.005)*** (2.027)*** (2.050)*** (2.098) (1.963)* (1.923)* (1.294)** (1.250) (1.271) (1.271)* (1.230) (1.210) (4.842)*** (0.659) (0.604) (0.593) (0.593)*** (0.552) (0.552) (3.084) (2.926) (2.926)*** (2.926) (3.084) (3.084)** (3.084) (2.926) (3.084) (0.254) (0.254) (2.326) (2.080) (2.326)* (2.686) (2.686) (2.686) (2.686) (2.686) (2.686) (0.646)** (0.625) (0.630) (0.625)** (0.630)* (0.640)* (0.630)*** (0.616) (0.646) (0.627) (0.627) (0.627) (0.627) (0.627) (0.627) (0.627)*** (0.627)*** (0.627) (1.833)* (1.833) (2.593) (2.593) (2.593) (3.666) (1.265) (1.408) (1.242)** (1.242) (1.242) (1.242)*** (1.242)* (3.487) (3.573) (3.766)*** (3.876) (4.432)*** (3.995) (4.432) (4.818) (5.327) (0.218)* (0.218) (0.218)*** (0.218) (0.218)* (0.218)*** (0.218)*** (1.305)** (1.344) (1.331)*** (1.305)*** (1.358) (1.331) (1.305)** (1.257) (1.292) (0.762)*** (0.748)*** (0.762)*** (0.741)** (0.741) (0.741) (0.734) (0.741)** (0.741) (0.925) (0.925) (0.925) (0.925)* (0.925) (0.925) (0.925) (0.925) (0.925) (2.492) (2.229) (2.664) (2.664) (2.664)* (2.664)* (2.666) (2.385) (1.777)*** (1.885) (1.686) (1.479) (1.539) (1.777)*** (1.608) (7.727)*** (27.861) (1.743)*** (1.743) (1.743)*** (1.743) (1.743) (1.776)*** (1.712)*** (1.776) (1.776) (2.816) (2.470) (2.816) (2.571) (2.571) (2.470)* (1.028) (1.028)* (1.028)*** (1.028) (1.028)*** (1.028) (1.028)** (1.028)** (1.028) (0.254) (0.254) (0.254) (0.254) (0.254) (0.254) (0.254)*** (0.192) (0.192)*** (0.192)*** (0.192) (0.192) (0.192)*** (1.191)*** (1.229)*** (1.173)*** (1.191)** (1.157)* (1.056)*** (1.056)* (1.082) (1.069) (0.781) (0.781) (0.771) (0.781) (0.781) (0.851)*** (0.070) (0.070) (0.070) (0.070) (0.070) (0.070) (0.070) (0.070) (0.070)*** Note: (1) サンプルは1998 年 1 月から2008 年 4 月まで存続した小売店 84 店舗の売上価格の月間平均値の前月比伸び率 (2)* はt 検定の有意水準を表し *** は棄却域 1% で ** は5% で * は10% でそれぞれ有意 (3) 店舗ごとの月次平均値価格の変化率を価格改定月を基準に事前 5か月, 事後 3か月の時間ダミーに回帰した