Are Sticky Prices Costly? Evidence from the Stock Market

• 成果类型: Article
• 署名作者: Gorodnichenko, Yuriy; Weber, Michael
• 署名单位: University of California System; University of California Berkeley; University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20131513
• 发表日期: 2016
• 页码: 165-199
• 关键词: multiproduct firms; monetary-policy; announcements; volatility; variance; DYNAMICS; target; news

摘要

We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These results suggest that menu costs-broadly defined to include physical costs of price adjustment, informational frictions, etc.-are an important factor for nominal price rigidity at the micro level. We also show that our empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness.