| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12824 |
| 来源ID | Working Paper 12824 |
| Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data | |
| Jean Boivin; Marc Giannoni; Ilian Mihov | |
| 发表日期 | 2007-01-11 |
| 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 | Econometrics ; Estimation Methods ; Microeconomics ; Households and Firms ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w12824 |
| 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/570489 |
| 推荐引用方式 GB/T 7714 | Jean Boivin,Marc Giannoni,Ilian Mihov. Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data. 2007. |
| 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 | ||
| w12824.pdf（1111KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
