Shocks versus Responsiveness: What Drives Time-Varying Dispersion?

• 成果类型: Article
• 署名作者: Berger, David; Vavra, Joseph
• 署名单位: Northwestern University; National Bureau of Economic Research; University of Chicago
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/701790
• 发表日期: 2019
• 页码: 2104-2142
• 关键词: dynamics; prices

摘要

The dispersion of many economic variables is countercyclical. What drives this fact? Greater dispersion could arise from greater volatility of shocks or from agents responding more to shocks of constant size. Without data separately measuring exogenous shocks and endogenous responses, a theoretical debate between these explanations has emerged. In this paper, we provide novel identification using price data in the open-economy environment: using confidential BLS microdata, we document a robust positive relationship between exchange rate pass-through and the dispersion of item-level price changes. We then show that this relationship supports models with time-varying responsiveness.