The Analytic Theory of a Monetary Shock

• 成果类型: Article
• 署名作者: Alvarez, Fernando; Lippi, Francesco
• 署名单位: University of Chicago; National Bureau of Economic Research; Luiss Guido Carli University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17348
• 发表日期: 2022
• 页码: 1655-1680
• 关键词: menu-cost; AGGREGATE DYNAMICS; multiproduct firms; equilibrium search; inflation; prices; MODEL; unemployment; consumption; Durables

摘要

We propose an analytical method to analyze the propagation of an aggregate shock in a broad class of sticky-price models. The method is based on the eigenvalue-eigenfunction representation of the dynamics of the cross-sectional distribution of firms' desired adjustments. A key novelty is that we can approximate the whole profile of the impulse response for any moment of interest in response to an aggregate shock (any displacement of the invariant distribution). We present several applications for an economy with low inflation and idiosyncratic shocks. We show that the shape of the impulse response of the canonical menu cost model is fully encoded by a single parameter, just like the Calvo model, although the shapes are very different. A model with a quadratic hazard function, arguably a good fit to the micro data on price setting, yields an impulse response that is close to the canonical menu cost model.