| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP6089
|
| DP6089 Pension systems, Intergenerational Risk Sharing and Inflation |
| Roel Beetsma; Lans Bovenberg
|
| 发表日期 | 2007-02-14
|
| 出版年 | 2007
|
| 语种 | 英语
|
| 摘要 | This paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor-augmented vector autoregression estimated on a large data set. On the basis of this estimation, we establish eight facts: (1) Macroeconomic shocks explain only about 15% of sectoral inflation fluctuations; (2) The persistence of sectoral inflation is driven by macroeconomic factors; (3) While disaggregated prices respond quickly to sector-specific shocks, their responses to aggregate shocks are small on impact and larger thereafter; (4) Most prices respond with a significant delay to identified monetary policy shocks, and show little evidence of a 'price puzzle'' contrary to existing studies based on traditional VARs; (5) Categories in which consumer prices fall the most following a monetary policy shock tend to be those in which quantities consumed fall the least; (6) The observed dispersion in the reaction of producer prices is relatively well explained by the degree of market power; (7) Prices in sectors with volatile idiosyncratic shocks react rapidly to aggregate monetary policy shocks; (8) The sector-specific components of prices and quantities move in opposite directions. |
| 主题 | International Macroeconomics
|
| 关键词 | Factor-augmented var
monetary policy
Price stickiness
|
| URL | https://cepr.org/publications/dp6089
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534928
|
推荐引用方式
GB/T 7714 |
Roel Beetsma,Lans Bovenberg. DP6089 Pension systems, Intergenerational Risk Sharing and Inflation. 2007.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
