Data and Code for: Sectoral Price Facts in a Sticky-Price Model

Principal Investigator(s): View help for Principal Investigator(s) Carlos Carvalho, PUC-Rio; Jae Won Lee, University of Virginia; Woong Yong Park, Seoul National University

Version: View help for Version V1

Name	File Type	Size	Last Modified
baseline			02/22/2020 01:04:AM
comparison			02/22/2020 01:04:AM
m59_F2L4			02/22/2020 01:04:AM
m82_F2L4			02/22/2020 01:04:AM
m83_F2L4			02/22/2020 01:04:AM
m86_F2L4			02/22/2020 01:05:AM

Project Description

Summary:

We develop a multisector sticky-price DSGE model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages and a (standard) monetary policy rule contribute to a slow response of prices to aggregate shocks. In turn, labor market segmentation at the sectoral level induces within-sector strategic substitutability in price-setting decisions, which helps the model deliver a fast response of prices to sector-specific shocks. We estimate the model using aggregate and sectoral price and quantity data for the U.S., and find that it accounts well for a range of sectoral price facts.

Scope of Project

Subject Terms: macroeconomics

JEL Classification:
      E30 Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles

Geographic Coverage: USA

Data Type(s): aggregate data; program source code

Methodology

Data Source:

FRED by the Federal Reserve Bank of St Louis
Bureau of Economic Analysis
Nakamura, E. and J. Steinsson (2008), “Five Facts About Prices: A Reevaluation of Menu Cost Models,” Quarterly Journal of Economics 123: 1415-1464.

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Published Versions

V1 [2020-12-18]

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