The real effects of monetary shocks: Evidence from micro pricing moments

Gee Hee Hong, Matthew Klepacz, Ernesto Pasten and Raphael Schoenle

Journal of Monetary Economics, 2023, vol. 139, issue C, 1-20

Abstract: Empirically, what pricing moments are informative about monetary non-neutrality? The frequency of price changes is robustly informative among a set of pricing moments and across specifications: A lower frequency is statistically significantly associated with higher monetary non-neutrality, in line with models of price rigidities. Other moments that describe the price change distribution are not consistently or significantly related to monetary non-neutrality. While the frequency explains the largest share of variation in non-neutrality, no pricing moments individually or jointly explain a majority of the variation in a linear empirical setting. Non-pricing moments explain additional variation, however are not consistently associated with monetary non-neutrality. A multi-sector menu cost model featuring different price adjustment technologies across sectors can rationalize our main findings.

Keywords: Price-setting; Monetary non-neutrality; Micro moments (search for similar items in EconPapers)
JEL-codes: E13 E31 E32 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments (2021)
Working Paper: The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:139:y:2023:i:c:p:1-20

DOI: 10.1016/j.jmoneco.2023.06.004

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