Sectoral price data and models of price setting

• 成果类型: Article; Proceedings Paper
• 署名作者: Mackowiak, Bartosz; Moench, Emanuel; Wiederholt, Mirko
• 署名单位: Northwestern University; European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.06.012
• 发表日期: 2009
• 页码: S78-S99
• 关键词: Bayesian dynamic factor model; Calvo model; menu cost; sticky information; rational inattention

摘要

In the median sector, 100 percent of the long-run response of the sectoral price index to a sector-specific shock occurs in the month of the shock. The standard Calvo model and the standard sticky-information model can match this finding only under extreme assumptions concerning the profit-maximizing price. The rational-inattention model of Mackowiak and Wiederholt [2009a. Optimal sticky prices under rational inattention. American Economic Review 99, 769-803] can match this finding without an extreme assumption concerning the profit-maximizing price. Furthermore, there is little variation across sectors in the speed of response of sectoral price indexes to sector-specific shocks. The rational-inattention model matches this finding, while the Calvo model predicts too much cross-sectional variation. (C) 2009 Elsevier B.V. All rights reserved.