Appendix B: Matched Sample Results | RDP 2023-06: Firms' Price-setting Behaviour: Insights from Earnings Calls

RDP 2023-06: Firms' Price-setting Behaviour: Insights from Earnings Calls Appendix B: Matched Sample Results

Callan Windsor and Max Zang

September 2023

Table B1: Earnings Calls and Business Liaison/Survey Indicators
March and September quarters only, matched sample
	Granger causality outcome^(a)			Max pairwise correlation
Input costs	earnings calls sentiment	$⇄$	liaison sentiment	0.88 (liaison leads)
Demand	earnings calls sentiment	→	liaison sentiment	0.77 (contemporaneous)
Labour costs	earnings calls sentiment	$⇄$	liaison sentiment	0.82 (contemporaneous)
Prices	earnings calls sentiment	←	liaison sentiment	0.52 (contemporaneous)
Notes: Matched over the entire sample period, not at any given point in time. (a) VARs of the form: $y_{t} = α_{0} + \sum_{l = 1}^{L} Α_{l} y_{t - l} + e_{t}$ , where y_t is the measure of interest (input costs, demand, labour costs and prices), constructed using either (1) earnings calls and business liaison; (2) earnings call and surveys of firms; or (3) earnings calls and statistical measures. → and ← indicate the direction of causality with $⇄$ indicating bi-directional causality.