Resource title

Sticky prices and monetary policy: evidence from disaggregated US data

Resource image

image for OpenScout resource :: Sticky prices and monetary policy: evidence from disaggregated US data

Resource description

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.

Resource author

Jean Boivin, Marc P. Giannoni, Ilian Mihov

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25515

Resource license

Adapt according to the presented license agreement and reference the original author.