Firm Uncertainty Cycles and the Propagation of Nominal Shocks

• 成果类型: Article
• 署名作者: Baley, Isaac; Blanco, Andres
• 署名单位: Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Barcelona School of Economics; University of Michigan System; University of Michigan
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20170402
• 发表日期: 2019
• 页码: 276-337
• 关键词: menu costs; monetary nonneutrality; sticky prices; models; INFORMATION; US; expectations; facts

摘要

We develop a framework to study the impact of idiosyncratic uncertainty on aggregate economic outcomes. Agents learn about individual characteristics, which receive infrequent, large, and persistent shocks. In this environment, idiosyncratic uncertainty moves in cycles, fluctuating between periods of high and low uncertainty; with additional fixed adjustment costs, the frequency and size of agents' actions also fluctuate in cycles. We apply our framework to study pricing behavior and the propagation of nominal shocks. We show, analytically and quantitatively, that idiosyncratic uncertainty cycles amplify the real effects of nominal shocks by generating cross-sectional dispersion in firms' adjustment frequency and in learning speed.