EconPapers    
Economics at your fingertips  
 

The real effects of monetary shocks in sticky price models. A sufficient statistic approach

Fernando Alvarez, Hervé Le Bihan () and Francesco Lippi
Additional contact information
Fernando Alvarez: University of Chicago

No 1608, EIEF Working Papers Series from Einaudi Institute for Economics and Finance (EIEF)

Abstract: We prove that the ratio of kurtosis to the frequency of price changes is a sufficient statistic for the real effects of monetary shocks, measured by the cumulated output response following the shock. The sufficient statistic result holds in a large class of models which includes Taylor (1980), Calvo (1983), Reis (2006), Golosov and Lucas (2007), Nakamura and Steinsson (2010), Midrigan (2011) and Alvarez and Lippi (2014). Several models in this class are able to account for the positive excess kurtosis of the size- distribution of price changes that appears in the data. We review empirical measures of kurtosis and frequency and conclude that a model that successfully matches the micro evidence on kurtosis and frequency produces real effects that are about 4 times larger than in the Golosov-Lucas model, and about 30% below those of the Calvo model. We discuss the robustness of our results to changes in the setup, including small in ation and leptokurtic cost shocks.

New Economics Papers: this item is included in nep-mon
Date: 2016, Revised 2016-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed

Downloads: (external link)
http://www.eief.it/files/2016/04/wp-08-the-real-ef ... atistic-approach.pdf (application/pdf)

Related works:
Journal Article: The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eie:wpaper:1608

Access Statistics for this paper

More papers in EIEF Working Papers Series from Einaudi Institute for Economics and Finance (EIEF) Contact information at EDIRC.
Bibliographic data for series maintained by Facundo Piguillem ().

 
Page updated 2019-10-14
Handle: RePEc:eie:wpaper:1608