Empirical Investigation of a Sufficient Statistic for Monetary Shocks
利用法国大量产品数据，检验了价格变化峰度与频率之比作为货币冲击非中性充分统计量的理论，发现该统计量能预测行业对货币政策的反应程度。
Abstract In a broad class of sticky-price models, the non-neutrality of nominal shocks is captured by a simple sufficient statistic: the ratio of the kurtosis of the price change distribution over the frequency of price changes. We test the sufficient statistic proposition using data for a large sample of products representative of the French economy. We first extend the theory to allow for empirically relevant monetary shocks with a transitory predictable component. We then use the microdata to measure kurtosis and frequency for about 120 producer price indices industries and 220 consumer price indices categories. We use a Factor-Augmented Vector Autoregressive (FAVAR) model to measure the industries’ response to monetary shocks, under alternative identification schemes. The estimated degree of non-neutrality correlates with the kurtosis and the frequency consistently with the predictions of the theory. Several robustness checks are discussed.