Replication data for: Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data
Principal Investigator(s): View help for Principal Investigator(s) Jean Boivin; Marc P. Giannoni; Ilian Mihov
Version: View help for Version V1
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application/zip | 1.5 MB | 10/12/2019 04:53:AM |
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text/plain | 14.6 KB | 10/12/2019 04:53:AM |
Project Citation:
Boivin, Jean, Giannoni, Marc P., and Mihov, Ilian. Replication data for: Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113287V1
Project Description
Summary:
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This paper shows that the recent evidence that disaggregated prices are volatile
does not necessarily challenge the hypothesis of price rigidity used in a large
class of macroeconomic models. We document the effect of macroeconomic
and sectoral disturbances by estimating a factor-augmented vector autoregression
using a large set of macroeconomic indicators and disaggregated prices.
Our main finding is that disaggregated prices appear sticky in response to
macroeconomic and monetary disturbances, but flexible in response to sectorspecific
shocks. The observed flexibility of disaggregated prices reflects the fact
that sector-specific shocks account on average for 85 percent of their monthly
fluctuations. (JEL E13, E31, E32, E52)
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E31 Price Level; Inflation; Deflation
E32 Business Fluctuations; Cycles
E52 Monetary Policy
E13 General Aggregative Models: Neoclassical
E31 Price Level; Inflation; Deflation
E32 Business Fluctuations; Cycles
E52 Monetary Policy
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