Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data

Jean Boivin (), Marc Giannoni and Ilian Mihov

American Economic Review, 2009, vol. 99, issue 1, 350-84

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)

JEL-codes: E13 E31 E32 E52 (search for similar items in EconPapers)
Date: 2009
Note: DOI: 10.1257/aer.99.1.350
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Citations: View citations in EconPapers (344)

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Related works:
Working Paper: Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data (2007)
Working Paper: Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data (2007)
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