The real effects of monetary shocks: Evidence from micro pricing moments

• 成果类型: Article
• 署名作者: Hong, Gee Hee; Klepacz, Matthew; Pasten, Ernesto; Schoenle, Raphael
• 署名单位: International Monetary Fund; Federal Reserve System - USA; Federal Reserve System Board of Governors; Central Bank of Chile; Brandeis University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.06.004
• 发表日期: 2023
• 页码: 1-20
• 关键词: Price-setting; Monetary non-neutrality; Micro moments

摘要

Empirically, what pricing moments are informative about monetary non-neutrality? The frequency of price changes is robustly informative among a set of pricing moments and across specifications: A lower frequency is statistically significantly associated with higher monetary non-neutrality, in line with models of price rigidities. Other moments that describe the price change distribution are not consistently or significantly related to monetary non-neutrality. While the frequency explains the largest share of variation in non-neutrality, no pricing moments individually or jointly explain a majority of the variation in a linear empirical setting. Non-pricing moments explain additional variation, however are not consistently associated with monetary non-neutrality. A multi-sector menu cost model featuring different price adjustment technologies across sectors can rationalize our main findings.(c) 2023 Elsevier B.V. All rights reserved.