Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data
使用因子增强向量自回归模型分析美国细分价格数据，发现细分价格对宏观和货币冲击反应粘性，但对部门特定冲击反应灵活，后者解释了85%的月度波动。
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 sector-specific shocks. The observed flexibility of disaggregated prices reflects the fact that sector-specific shocks account on average for 85 percent of their monthly fluctuations.