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Author:Choi, Chi-Young 

Working Paper
The role of two frictions in geographic price dispersion: when market friction meets nominal rigidity

This paper empirically investigates and theoretically derives the implications of two frictions, market friction and nominal rigidity, on the dynamic properties of intra-national relative prices, with an emphasis on the interaction of the two frictions. By analyzing a panel of retail prices of 45 products for 48 cities in the U.S., we make two major arguments. First, the effect of each type of friction on the dynamics of intercity price gaps is quite different. While market frictions arising from physical distance and transportation costs contribute significantly to volatile and persistent ...
Globalization Institute Working Papers , Paper 219

Working Paper
Time-varying Persistence of House Price Growth: The Role of Expectations and Credit Supply

High persistence is a prominent feature of price movements in U.S. housing markets, i.e., house prices grow faster this period if they grew faster last period. This paper provides two additional new insights to the literature on U.S. house price movements. First, there exists a significant time variation in the persistence of house price growth, both at the national and city level. Second, there is considerable heterogeneity in the time-varying persistence across different regions, particularly in areas that were historically less persistent, such as the capital-poor regions in the Midwest ...
Globalization Institute Working Papers , Paper 426

Working Paper
Geographic Inequality of Economic Well-being among U.S. Cities: Evidence from Micro Panel Data

We analyze the geographic inequality of economic well-being among U.S. cities by utilizing a novel measure of quantity based product-level economic well-being, i.e., the number of goods and services that can be purchased by consumers with an average city wage. We find a considerable cross-city dispersion in the economic well-being and the geographic dispersion has been on the steady rise since the mid-1990s for most goods and services under study. Strong geographic correlations exist in the local economic well-being and our empirical analysis based on a Global VAR (GVAR) model suggests that ...
Globalization Institute Working Papers , Paper 330

Working Paper
Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels

This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses of common shocks in large panels with one or two cross-section dimensions. We derive sufficient conditions for asymptotic normality, and document satisfactory small sample performance using Monte Carlo experiments. Three empirical illustrations showcase the usefulness of MGDL estimators: crude oil price pass-through to U.S. city- and product-level retail prices; retail price effects of U.S. monetary policy shocks; and house price effects of U.S. monetary policy shocks.
Globalization Institute Working Papers , Paper 423

Working Paper
Estimating Impulse Response Functions When the Shock Series Is Observed

We compare the finite sample performance of a variety of consistent approaches to estimating Impulse Response Functions (IRFs) in a linear setup when the shock of interest is observed. Although there is no uniformly superior approach, iterated approaches turn out to perform well in terms of root mean-squared error (RMSE) in diverse environments and sample sizes. For smaller sample sizes, parsimonious specifications are preferred over full specifications with all ?relevant? variables.
Globalization Institute Working Papers , Paper 353

Working Paper
How Do Housing Markets Affect Local Consumer Prices? – Evidence from U.S. Cities

Analyzing city-level retail price data for a variety of consumer products, we find that house price changes lead local consumer price changes, but not vice versa. The transmission of the house price changes differs substantially across locations and products. It also hinges on the nature of housing market shocks; housing supply shocks propagate through the cost-push channel via local cost and markup effects, while housing demand shocks transmit through conventional wealth and collateral effects. Our findings suggest that housing may exert greater impacts on the local cost-of-living and ...
Globalization Institute Working Papers , Paper 398

Working Paper
Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels

This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses in large panels with one or two cross-section dimensions. Sufficient conditions for asymptotic consistency and asymptotic normality are derived, and satisfactory small sample performance is documented using Monte Carlo experiments. MGDL estimators are used to estimate the effects of crude oil price increases on U.S. city- and product-level retail prices.
Globalization Institute Working Papers , Paper 423

Persistence of house-price growth highlights geographic, credit factors

Growth in house prices is highly persistent and therefore more predictable than that of other assets, such as stocks.
Dallas Fed Economics

Journal Article
Consuming price differences persist among eight Texas cities

The differences in what consumers pay for a given product in eight Texas cities increased considerably in the 2000s?Dallas being by far the most expensive city in the sample. A strong price adjustment mechanism, however, ensures that the relative price between any two Texas locations tended to rapidly revert to its mean value
Economic Letter , Volume 9 , Issue 14 , Pages 1-4

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