Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data

• 成果类型: Article
• 署名作者: Boivin, Jean; Giannoni, Marc P.; Mihov, Ilian
• 署名单位: Universite de Montreal; HEC Montreal; National Bureau of Economic Research; Columbia University; Center for Economic & Policy Research (CEPR); INSEAD Business School
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.1.350
• 发表日期: 2009
• 页码: 350-384
• 关键词: menu costs; inflation; aggregation; persistence; facts

摘要

This paper shows that the recent evidence that disaggregated prices are volatile does not necessarily challenge the hypothesis of price rigidity used in a large IF class of macroeconomic models. We document the effect of macroeconomic and sectoral disturbances by estimating a factor-augmented vector autoregression using a large set of macroeconomic indicators and disaggregated prices. Our main finding is that disaggregated prices appear sticky in response to macroeconomic and monetary disturbances, but flexible in response to sector-specific shocks. The observed flexibility of disaggregated prices reflects the fact that sector-specific shocks account on average for 85 percent of their monthly fluctuations. (JEL E13, E31, E32, E52)