Sticky prices and monetary policy : evidence from disaggregated U.S. data

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
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
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Metadaten
Author:Jean Boivin, Marc P. Giannoni, Ilian Mihov
URN:urn:nbn:de:hebis:30-38244
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,14
Series (Serial Number):CFS working paper series (2007, 14)
Document Type:Working Paper
Language:English
Year of Completion:2007
Year of first Publication:2007
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2007/02/23
Tag:Disaggregated Prices; Factor-Augmented Vector Autoregression Model (FAVAR); Imperfect Competition; Monetary Policy; Sticky Prices
SWD-Keyword:Geldpolitik; Preisbildung
Issue:November 10, 2006
Pagenumber:72
Note:
November 10, 2006
HeBIS PPN:190226005
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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