TY  - UNPD
A1  - Boivin, Jean
A1  - Giannoni, Marc P.
A1  - Mihov, Ilian
T1  - Sticky prices and monetary policy : evidence from disaggregated U.S. data
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,14
N2  - This paper uses factor-augmented vector autoregressions (FAVAR) estimated using a large data set to disentangle fluctuations in disaggregated consumer and producer prices which are due to macroeconomic factors from those due to sectorial conditions. This allows us to provide consistent estimates of the effects of US monetary policy on disaggregated prices. While sectorial prices respond quickly to sector-specific shocks, we find that for a large number of price series, there is a significant delay in the response of prices to monetary policy shocks. In addition, price responses display little evidence of a “price puzzle,” contrary to existing studies based on traditional VARs. The observed dispersion in the reaction of producer prices is relatively well explained by the degree of market power, as predicted by models with monopolistic competition. JEL Classification: E32, E52
T3  - CFS working paper series - 2007, 14 
KW  - Sticky Prices
KW  - Monetary Policy
KW  - Disaggregated Prices
KW  - Imperfect Competition
KW  - Factor-Augmented Vector Autoregression Model (FAVAR)
KW  - Geldpolitik
KW  - Preisbildung
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/1614
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-38244
N1  - November 10, 2006
IS  - November 10, 2006
ER  -