| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16626 |
| DP16626 Empirical Investigation of a Sufficient Statistic for Monetary Shocks | |
| Fernando Alvarez; Andrea Ferrara; Erwan Gautier; Hervé Le Bihan; Francesco Lippi | |
| 发表日期 | 2021-10-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | In a broad class of sticky price models the non-neutrality of nominal shocks is encoded by a simple sufficient statistic: the ratio of the kurtosis of the size-distribution of price changes over the frequency of price changes. We test this theoretical prediction using data for a large number of firms representative of the French economy. We use the micro data to measure the cross sectional moments, including kurtosis and frequency, for about 120 PPI industries and 220 CPI categories. We use a Factor Augmented VAR to measure the sectoral responses to a monetary shock, as summarized by the cumulative impulse response of sectoral prices (CIRP ), under three alternative identification schemes. The estimated CIRP correlates with the kurtosis and the frequency consistently with the prediction of the theory (i.e. they enter the relationship as a ratio). The analysis also shows that other moments not suggested by the theory, such as the mean, standard deviation and skewness of the size-distribution of price changes, are not correlated with the CIRP . Several robustness checks are discussed. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Impulse response functions Monetary shocks Generalized hazard function Sticky prices Sufficient statistic |
| URL | https://cepr.org/publications/dp16626 |
| 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/545569 |
| 推荐引用方式 GB/T 7714 | Fernando Alvarez,Andrea Ferrara,Erwan Gautier,et al. DP16626 Empirical Investigation of a Sufficient Statistic for Monetary Shocks. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
