INVESTIGATING NONNEUTRALITY IN A STATE-DEPENDENT PRICING MODEL WITH FIRM-LEVEL PRODUCTIVITY SHOCKS

• 成果类型: Article
• 署名作者: Dotsey, Michael; Wolman, Alexander L.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12420
• 发表日期: 2020
• 页码: 159-188
• 关键词: menu costs; DYNAMICS; prices; reallocation; equilibrium; selection; sales

摘要

In a model with fixed cost of price adjustment and idiosyncratic shocks, two parameterizations match a large set of microeconomic facts, yet display different degrees of nonneutrality. Although there is substantial nonneutrality in both cases, the model does not behave like a time-dependent model, as changes in the distribution of firms account for roughly a third of the short-run response of the price level to a monetary shock. We use the model to examine how aggregating firm behavior can generate flat hazards; we also find that a recently developed steady-state statistic is an imperfect guide to characterizing nonneutrality.