Capital-market consequences of asymmetric output-price rigidities

• 成果类型: Article
• 署名作者: Xie, Jin
• 署名单位: Chinese University of Hong Kong
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.03.009
• 发表日期: 2020
• 页码: 221-239
• 关键词: New Keynesian economics; Downward nominal price rigidities; trend inflation; Earnings persistence; Stock market

摘要

Firms adjust output prices to cost decreases with a delay relative to cost increases. I document firms' operating income becomes less persistent when their input costs decrease than when their costs increase. The stocks of firms slowly cutting output prices due to asymmetric output-price rigidities also experience high stock return volatility, and their CEOs more frequently manage expectations of financial analysts. I show these results are consistent with a New Keynesian model with trend inflation. (C) 2019 Published by Elsevier B.V.