| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9770 |
| DP9770 Small and large price changes and the propagation of monetary shocks | |
| Fernando Alvarez; Francesco Lippi | |
| 发表日期 | 2013-12-01 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We document the presence of both small and large price changes in individual price records from the CPI in France and the US. After correcting for measurement error and cross-section heterogeneity we find that the size distribution of price changes has a positive excess kurtosis, with a shape that lies between a Normal and a Laplace distribution. We propose a model, featuring random menu-costs and multi product firms, that is capable to reproduce the observed empirical patterns. We characterize analytically the response of the aggregate economy to a monetary shock. Different propagation mechanism, spanning the models of Taylor (1980), Calvo (1983) and Golosov and Lucas (2007), are nested under different combination of 4 fundamental parameters. We dis- cuss the identification of these parameters using data on the size-distribution of price changes and the actual cost of price adjustments borne by firms. The output effect is proportional to the ratio of kurtosis to the frequency of price changes. |
| 主题 | International Macroeconomics |
| 关键词 | Calvo pricing rule Distribution of price changes Menu cost Micro evidence Monetary shocks Rice setting |
| URL | https://cepr.org/publications/dp9770 |
| 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/538606 |
| 推荐引用方式 GB/T 7714 | Fernando Alvarez,Francesco Lippi. DP9770 Small and large price changes and the propagation of monetary shocks. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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