The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments

71 Pages Posted: 14 Mar 2019 Last revised: 2 Sep 2021

See all articles by Gee Hee Hong

Gee Hee Hong

International Monetary Fund (IMF)

Matthew Klepacz

Board of Governors of the Federal Reserve System

Ernesto Pastén

Central Bank of Chile

Raphael Schoenle

Brandeis University

Multiple version iconThere are 2 versions of this paper

Date Written: August 15, 2021

Abstract

This paper evaluates the informativeness of pricing moments for monetary non-neutrality. Empirically, frequency of price changes is robustly informative, in line with models of price rigidities. Other moments are insignificant, or become insignificant when non-pricing moments are included. No pricing moment is a sufficient statistic. Our theoretical analysis, focused on the ratio of kurtosis over frequency of price changes in a quantitative menu cost model, finds an ambiguous relationship of the ratio with monetary non-neutrality. This result stands in contrast with existing theoretical results. We explore which assumptions explain the discrepancy, aligning theoretical and empirical results.

Keywords: Price-Setting, Calvo Pricing, Menu Cost, Micro Moments, Sufficient Statistics

JEL Classification: E13, E31, E32

Suggested Citation

Hong, Gee Hee and Klepacz, Matthew and Pastén, Ernesto and Schoenle, Raphael, The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments (August 15, 2021). Available at SSRN: https://ssrn.com/abstract=3340080 or http://dx.doi.org/10.2139/ssrn.3340080

Gee Hee Hong

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Matthew Klepacz (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Ernesto Pastén

Central Bank of Chile

Publicaciones
Huerfanos 1185
Santiago
Chile

Raphael Schoenle

Brandeis University ( email )

Waltham, MA 02454
United States

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