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Boivin, Jean,
Marc P. Giannoni, and
Ilian Mihov. 2009. "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data."
,
99(1): 350-84.
Show Article Details
DOI: 10.1257/aer.99.1.350
Abstract:This paper shows that the recent evidence that disaggregated prices are volatile
does not necessarily challenge the hypothesis of price rigidity used in a large
class of macroeconomic models. We document the effect of macroeconomic
and sectoral disturbances by estimating a factor-augmented vector autoregression
using a large set of macroeconomic indicators and disaggregated prices.
Our main finding is that disaggregated prices appear sticky in response to
macroeconomic and monetary disturbances, but flexible in response to sectorspecific
shocks. The observed flexibility of disaggregated prices reflects the fact
that sector-specific shocks account on average for 85 percent of their monthly
fluctuations. (JEL E13, E31, E32, E52)
Additional links:
Download Data Set |
Appendix
Authors:
Boivin, Jean (HEC Montreal and CIRANO)
Giannoni, Marc P. (Columbia U and CIRANO)
Mihov, Ilian (INSEAD, Singapore)
JEL Classifications:
E13: General Aggregative Models: Neoclassical
E31: Price Level; Inflation; Deflation
E32: Business Fluctuations; Cycles
E52: Monetary Policy
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