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Small and large price changes and the propagation of monetary shocks

Author: Fernando Alvarez; Hervé Le Bihan; Francesco Lippi; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2014.
Series: Working paper series (National Bureau of Economic Research), no. 20155.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We document the presence of both small and large price changes in individual price records from the CPI in France and the US. After correcting for measurement error and cross-section heterogeneity, the size-distribution of price changes has a positive excess kurtosis. We propose an analytical menu cost model that encompasses several classic models, as Taylor (1980), Calvo (1983), Reis (2006), Golosov and Lucas  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Fernando Alvarez; Hervé Le Bihan; Francesco Lippi; National Bureau of Economic Research,
OCLC Number: 881829806
Notes: "May 2014"
Includes online appendix (48 pages).
Description: 1 online resource (47 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 20155.
Responsibility: Fernando Alvarez, Hervé Le Bihan, Francesco Lippi.

Abstract:

We document the presence of both small and large price changes in individual price records from the CPI in France and the US. After correcting for measurement error and cross-section heterogeneity, the size-distribution of price changes has a positive excess kurtosis. We propose an analytical menu cost model that encompasses several classic models, as Taylor (1980), Calvo (1983), Reis (2006), Golosov and Lucas (2007) and accounts for observed cross-sectional patterns. We show that the ratio of kurtosis to the frequency of price changes is a sufficient statistics for the real effects of monetary policy in a large class of models.

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