Uncertainty-driven business cycles: Assessing the markup channel

• 成果类型: Article
• 署名作者: Born, Benjamin; Pfeifer, Johannes
• 署名单位: Center for Economic & Policy Research (CEPR); Bundeswehr University Munich
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1297
• 发表日期: 2021
• 页码: 587-623
• 关键词: Uncertainty shocks; precautionary pricing; markup channel; price markup; wage markup; E01; E24; E32

摘要

Precautionary pricing and increasing markups in representative-agent DSGE models with nominal rigidities are commonly used to generate negative output effects of uncertainty shocks. We assess whether this theoretical model channel is consistent with the data. Three things stand out. First, consistent with precautionary wage setting, we find that wage markups increase after uncertainty shocks. Second, the impulse responses of price markups are largely inconsistent with the standard model, both at the aggregate as well as the industry level. Finally, and in contrast to times-series evidence, our theoretical model robustly predicts that uncertainty shocks have a quantitatively small impact on the economy.