The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments
Gee Hee Hong,
Ernesto Pasten and
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Matthew Klepacz: https://www.federalreserve.gov/econres/matthew-t-klepacz.htm
No 21-17, Working Papers from Federal Reserve Bank of Cleveland
This paper evaluates the informativeness of eight micro pricing moments for monetary non-neutrality. Frequency of price changes is the only robustly informative moment. The ratio of kurtosis over frequency is significant only because of frequency, and insignificant when non-pricing moments are included. Non-pricing moments are additionally informative about monetary non-neutrality, indicating potential omitted variable bias and the inability of pricing moments to serve as sufficient statistics. In contrast to existing theoretical work, this ratio has an ambiguous relationship with monetary non-neutrality in a quantitative menu cost model. We show which modeling ingredients explain this discrepancy, providing guidance on modeling choices.
Keywords: Price-setting; menu cost; micro moments; sufficient statistics (search for similar items in EconPapers)
JEL-codes: E13 E31 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-isf, nep-mac and nep-mon
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https://doi.org/10.26509/frbc-wp-202117 Full Text (text/html)
Journal Article: The real effects of monetary shocks: Evidence from micro pricing moments (2023)
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:fip:fedcwq:93012
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