| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5793 |
| 来源ID | Working Paper 5793 |
| Inflation and the Distribution of Price Changes | |
| Michael F. Bryan; Stephen G. Cecchetti | |
| 发表日期 | 1996-10-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | its higher order moments, and in particular, its third moment the skewness of the price change distribution. Evidence on correlations between inflation and its moments goesback over thirty years, and was first used to reject the independence of relative price changes and inflation that is assumed in neo- classical models. More recently, New Keynesian macroeconomists have shown that the strong positive correlation between inflation and the skewness of the price change distribution is consistent with menu-cost models of price setting behavior. This is a fairly controversial result, prompting other researchers to demonstrate that the same correlation can be found in a multi- sector, flexible-price (real business cycle) model. We examine the small-sample properties of the main empirical finding on which this work is based: the positive correlation between the sample mean and sample skewness of price change distributions. Our results show that this particular statistic suffers from a large positive small-sample bias, and demonstrate that the entirety of the observed correlation can be explained by this bias. To the extent that we find any relationship at all, it is that the correlation is negative. In other words, we establish that one of the most accepted stylized facts in the literature on aggregate price behavior, that inflation and the skewness of the price change distribution are positively linked, need not be a fact at all. |
| 主题 | Macroeconomics ; Business Cycles ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w5793 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563282 |
| 推荐引用方式 GB/T 7714 | Michael F. Bryan,Stephen G. Cecchetti. Inflation and the Distribution of Price Changes. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5793.pdf（891KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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