| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29490 |
| 来源ID | Working Paper 29490 |
| Empirical Investigation of a Sufficient Statistic for Monetary Shocks | |
| Fernando E. Alvarez; Andrea Ferrara; Erwan Gautier; Hervé Le Bihan; Francesco Lippi | |
| 发表日期 | 2021-11-22 |
| 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 CIR . Several robustness checks are discussed |
| 主题 | Macroeconomics ; Business Cycles ; Monetary Policy |
| URL | https://www.nber.org/papers/w29490 |
| 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/587164 |
| 推荐引用方式 GB/T 7714 | Fernando E. Alvarez,Andrea Ferrara,Erwan Gautier,et al. Empirical Investigation of a Sufficient Statistic for Monetary Shocks. 2021. |
| 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 | ||
| w29490.pdf（681KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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