Dataciencia

Colección SciELO Chile

The real effects of monetary shocks: Evidence from micro pricing moments

Indexado

WoS	WOS:001090957900001
Scopus	SCOPUS_ID:85164741236

DOI

10.1016/J.JMONECO.2023.06.004

Año

2023

Tipo

artículo de investigación

Citas Totales

Autores Afiliación Chile

Instituciones Chile

% Participación
Internacional

Autores
Afiliación Extranjera

Instituciones
Extranjeras

Abstract

Empirically, what pricing moments are informative about monetary non-neutrality? The frequency of price changes is robustly informative among a set of pricing moments and across specifications: A lower frequency is statistically significantly associated with higher monetary non-neutrality, in line with models of price rigidities. Other moments that describe the price change distribution are not consistently or significantly related to monetary non-neutrality. While the frequency explains the largest share of variation in non-neutrality, no pricing moments individually or jointly explain a majority of the variation in a linear empirical setting. Non-pricing moments explain additional variation, however are not consistently associated with monetary non-neutrality. A multi-sector menu cost model featuring different price adjustment technologies across sectors can rationalize our main findings.

Revista

Revista	ISSN
Journal Of Monetary Economics	0304-3932

Métricas Externas

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Disciplinas de Investigación

WOS
Economics
Business, Finance

Scopus
Economics And Econometrics
Finance

SciELO
Sin Disciplinas

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Publicaciones WoS (Ediciones: ISSHP, ISTP, AHCI, SSCI, SCI), Scopus, SciELO Chile.

Colaboración Institucional

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Autores - Afiliación

Ord.	Autor	Género	Institución - País
1	Hong, Gee Hee	-	International Monetary Fund - Estados Unidos Int Monetary Fund - Estados Unidos
2	Klepacz, Matthew	Hombre	Federal Reserve System - Estados Unidos Fed Reserve Board - Estados Unidos
3	Pasten, Ernesto	Hombre	Banco Central de Chile - Chile
4	Schoenle, Raphael	Hombre	Brandeis University - Estados Unidos Brandeis Univ - Estados Unidos

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Financiamiento

Fuente
Harvard University
University of Virginia
Seoul National University
Harvard University Macro/Finance Lunch

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Agradecimientos

Agradecimiento
We thank Klaus Adam, Adrien Auclert, Fernando Alvarez, Robert Barro, Andres Blanco, Carlos Carvalho, Yongsung Chang, Pierrick Clerc, Andres Drenik, Gabriel Chodorow-Reich, Pierrick Clerc, Olivier Coibion, Eduardo Engel, Emmanuel Farhi, Xavier Gabaix, Etienne Gagnon, Simon Gilchrist, Yuriy Gorodnichenko, Oscar Jorda, Pete Klenow, Oleksiy Kryvtsov, Herve Le Bihan, Marc Melitz, Francesco Lippi, Alisdair McKay, Luigi Paciello, Farzad Saidi, Felipe Schwartzman, Jon Steinsson, Ludwig Straub, Lucciano Villacorta, Alejandro Vicondoa, Johannes Wieland, and seminar participants at the XXI Inflation Targeting Conference - Banco Central do Brasil, ECB Annual Inflation Conference, the ECB PRISMA meetings, Harvard University Macro/Finance Lunch, the NBER Monetary Economics Meeting, Midwest Macro Meetings, Seoul National University, University of Virginia, Wake Forest, and William and Mary for helpful comments. The authors acknowledge William & Mary Research Computing support. Klepacz thanks the support of the College of William and Mary Faculty Research grant. Schoenle thanks Harvard University for hospitality during the preparation of this draft. This research was conducted with restricted access to the Bureau of Labor Statistics (BLS) data. We thank our project coordinator, Ryan Ogden, for his substantial help and effort. The views expressed here are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Board, the Federal Reserve System, the BLS, the Central Bank of Chile, or the International Monetary Fund.

Agradecimiento

We thank Klaus Adam, Adrien Auclert, Fernando Alvarez, Robert Barro, Andres Blanco, Carlos Carvalho, Yongsung Chang, Pierrick Clerc, Andres Drenik, Gabriel Chodorow-Reich, Pierrick Clerc, Olivier Coibion, Eduardo Engel, Emmanuel Farhi, Xavier Gabaix, Etienne Gagnon, Simon Gilchrist, Yuriy Gorodnichenko, Oscar Jorda, Pete Klenow, Oleksiy Kryvtsov, Herve Le Bihan, Marc Melitz, Francesco Lippi, Alisdair McKay, Luigi Paciello, Farzad Saidi, Felipe Schwartzman, Jon Steinsson, Ludwig Straub, Lucciano Villacorta, Alejandro Vicondoa, Johannes Wieland, and seminar participants at the XXI Inflation Targeting Conference - Banco Central do Brasil, ECB Annual Inflation Conference, the ECB PRISMA meetings, Harvard University Macro/Finance Lunch, the NBER Monetary Economics Meeting, Midwest Macro Meetings, Seoul National University, University of Virginia, Wake Forest, and William and Mary for helpful comments. The authors acknowledge William & Mary Research Computing support. Klepacz thanks the support of the College of William and Mary Faculty Research grant. Schoenle thanks Harvard University for hospitality during the preparation of this draft. This research was conducted with restricted access to the Bureau of Labor Statistics (BLS) data. We thank our project coordinator, Ryan Ogden, for his substantial help and effort. The views expressed here are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Board, the Federal Reserve System, the BLS, the Central Bank of Chile, or the International Monetary Fund.