 Monetary Policy Effects on Disaggregated Prices in Korea (in Korean)Kangwoo Park ()
Economic Analysis (Quarterly), 2009, vol. 15, issue 3, 84-128 Abstract: We document the impulse response of disaggregated PPI (1991Q1~2008Q2) to monetary policy shocks in Korea, employing the factor-augmented vector autoregression model of Bernanke, Boivin and Eliasz(2005). According to the estimated results, Korean disaggregated PPI is more sensitive to macroeconomic shocks, relative to that of U.S. This stylized fact gets more striking after the financial crisis in the late 90s. Unlike aggregate prices, disaggregate prices respond very flexibly to monetary policy shocks, in particular, soon after they occur. Furthermore, there exists a great deal of heterogeneity in the sign and magnitude of those responses. This result hints at the valid cost-channel effect of monetary policy in Korea, and even suggests that the apparent stickiness of aggregate prices may be just an artifact of aggregation bias. We also find that the less competitive or the more materials-intensive sector tends to respond more rigidly to monetary shocks. This result implies that market structure and cost pricing are two main factors in explaining the pricing behavior of Korean business sector. Keywords: Disaggregated Price; Sticky Price; Cost-channel Effect; Factor-Augmented VAR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:15:y:2009:i:3:p:84-128 Access Statistics for this article Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC. |
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