The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach

被引:57
|
作者
Alvarez, Fernando [1 ]
Le Bihan, Herve [2 ]
Lippi, Francesco [3 ,4 ]
机构
[1] Univ Chicago, Dept Econ, 1126 East 59th St, Chicago, IL 60637 USA
[2] Banque France, Direct Etud Monetaires & Financieres, DGEI DEMFI, 41-1403,31 Rue Croix des Petits Champs, F-75049 Paris 01, France
[3] Univ Sassari, Via Sallustiana 62, I-00184 Rome, Italy
[4] EIEF, Via Sallustiana 62, I-00184 Rome, Italy
来源
AMERICAN ECONOMIC REVIEW | 2016年 / 106卷 / 10期
基金
欧洲研究理事会;
关键词
MULTIPRODUCT FIRMS; MENU COSTS; INATTENTIVE PRODUCERS; PHILLIPS-CURVE; INFLATION; NONNEUTRALITY; ADJUSTMENT; RIGIDITIES; DYNAMICS;
D O I
10.1257/aer.20140500
中图分类号
F [经济];
学科分类号
02 ;
摘要
We prove that the ratio of kurtosis to the frequency of price changes is a sufficient statistic for the real effects of monetary shocks, measured by the cumulated output response following the shock. The sufficient statistic result holds in a large class of models which includes Taylor (1980); Calvo (1983); Reis (2006); Golosov and Lucas (2007); Nakamura and Steinsson (2010); Midrigan (2011); and Alvarez and Lippi (2014). Several models in this class are able to account for the positive excess kurtosis of the size distribution of price changes that appears in the data. We review empirical measures of kurtosis and frequency and conclude that a model that successfully matches the microevidence on kurtosis and frequency produces real effects that are about four times larger than in the Golosov-Lucas model, and about 30 percent below those of the Calvo model. We discuss the robustness of our results to changes in the setup, including small inflation and leptokurtic cost shocks.
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页码:2817 / 2851
页数:35
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