Are Sticky Prices Costly? Evidence from the Stock Market
研究发现，货币政策公告后，价格更粘的公司的股票回报条件波动性比价格更灵活的公司上升更多，表明菜单成本是微观价格刚性的重要因素。
We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These results suggest that menu costs—broadly defined to include physical costs of price adjustment, informational frictions, etc.—are an important factor for nominal price rigidity at the micro level. We also show that our empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness.