NON-LINEARITIES, STATE-DEPENDENT PRICES AND THE TRANSMISSION MECHANISM OF MONETARY POLICY

• 成果类型: Article
• 署名作者: Ascari, Guido; Haber, Timo
• 署名单位: University of Oxford; University of Pavia; University of Cambridge
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueab049
• 发表日期: 2022
• 页码: 37-57
• 关键词: menu costs; multiproduct firms; inflation; shocks; DYNAMICS; multipliers; surprises; models; output; money

摘要

A sticky price theory of the transmission mechanism of monetary policy shocks based on state-dependent pricing yields two testable implications that do not hold in time-dependent models. First, large monetary policy shocks should yield proportionally larger initial responses of the price level. Second, in a high trend inflation regime, the response of the price level to monetary policy shocks should be larger and real effects smaller. Our analysis provides evidence supporting these non-linear effects in the response of the price level in aggregate US data, indicating state-dependent pricing as an important feature of the transmission mechanism of monetary policy.