The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach
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作者:
Alvarez, Fernando
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Univ Chicago, Dept Econ, 1126 East 59th St, Chicago, IL 60637 USAUniv Chicago, Dept Econ, 1126 East 59th St, Chicago, IL 60637 USA
Alvarez, Fernando
[1
]
Le Bihan, Herve
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机构:
Banque France, Direct Etud Monetaires & Financieres, DGEI DEMFI, 41-1403,31 Rue Croix des Petits Champs, F-75049 Paris 01, FranceUniv Chicago, Dept Econ, 1126 East 59th St, Chicago, IL 60637 USA
Le Bihan, Herve
[2
]
Lippi, Francesco
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Univ Sassari, Via Sallustiana 62, I-00184 Rome, Italy
EIEF, Via Sallustiana 62, I-00184 Rome, ItalyUniv Chicago, Dept Econ, 1126 East 59th St, Chicago, IL 60637 USA
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
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.
机构:
Indian Inst Technol Madras, Dept Humanities & Social Sci, Chennai 600036, Tamil Nadu, IndiaUniv Paris 1 Pantheon Sorbonne Maison Sci Econom, Paris Sch Econ, 106-112 Blvd Hop, F-75647 Paris 13, France