Empirical Investigation of a Sufficient Statistic for Monetary Shocks

• 成果类型: Article
• 署名作者: Alvarez, Fernando; Ferrara, Andrea; Gautier, Erwan; Le Bihan, Herve; Lippi, Francesco
• 署名单位: University of Chicago; National Bureau of Economic Research; Northwestern University; European Central Bank; Bank of France; Universite PSL; Universite Paris-Dauphine; Curtin University; Luiss Guido Carli University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae082
• 发表日期: 2025
• 页码: 2165-2196
• 关键词: menu-cost; sticky prices; POLICY; inflation; DYNAMICS; models; facts; nonneutrality; propagation

摘要

In a broad class of sticky-price models, the non-neutrality of nominal shocks is captured by a simple sufficient statistic: the ratio of the kurtosis of the price change distribution over the frequency of price changes. We test the sufficient statistic proposition using data for a large sample of products representative of the French economy. We first extend the theory to allow for empirically relevant monetary shocks with a transitory predictable component. We then use the microdata to measure kurtosis and frequency for about 120 producer price indices industries and 220 consumer price indices categories. We use a Factor-Augmented Vector Autoregressive (FAVAR) model to measure the industries' response to monetary shocks, under alternative identification schemes. The estimated degree of non-neutrality correlates with the kurtosis and the frequency consistently with the predictions of the theory. Several robustness checks are discussed.