Replication data for: Are Sticky Prices Costly? Evidence from the Stock Market
Principal Investigator(s): View help for Principal Investigator(s) Yuriy Gorodnichenko; Michael Weber
Version: View help for Version V1
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code-for-replication | 10/12/2019 01:53:AM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/11/2019 09:53:PM |
Project Citation:
Gorodnichenko, Yuriy, and Weber, Michael. Replication data for: Are Sticky Prices Costly? Evidence from the Stock Market. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E112963V1
Project Description
Summary:
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We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These results suggest that menu costs—broadly defined to include physical costs of price adjustment, informational frictions, etc.—are an important factor for nominal price rigidity at the micro level. We also show that our empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness. (JEL E12, E31, E43, E44, E52, G12, L11)
Scope of Project
JEL Classification:
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E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
E31 Price Level; Inflation; Deflation
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
L11 Production, Pricing, and Market Structure; Size Distribution of Firms
E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
E31 Price Level; Inflation; Deflation
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
L11 Production, Pricing, and Market Structure; Size Distribution of Firms
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