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Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25515
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Boivin, Jean | | en_US |
| dc.contributor.author | | Giannoni, Marc P. | | en_US |
| dc.contributor.author | | Mihov, Ilian | | en_US |
| dc.date.accessioned | | 2007-04-24 | | en_US |
| dc.date.accessioned | | 2009-07-24T13:48:21Z | | - |
| dc.date.available | | 2009-07-24T13:48:21Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25515 | | - |
| dc.description.abstract | | This paper uses factor-augmented vector autoregressions (FAVAR) estimated using a large data set to disentangle fluctuations in disaggregated consumer and producer prices which are due to macroeconomic factors from those due to sectorial conditions. This allows us to provide consistent estimates of the effects of US monetary policy on disaggregated prices. While sectorial prices respond quickly to sector-specific shocks, we find that for a large number of price series, there is a significant delay in the response of prices to monetary policy shocks. In addition, price responses display little evidence of a price puzzle, contrary to existing studies based on traditional VARs. The observed dispersion in the reaction of producer prices is relatively well explained by the degree of market power, as predicted by models with monopolistic competition. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Center for Financial Studies Frankfurt, Main | | en_US |
| dc.relation.ispartofseries | | CFS Working Paper 2007/14 | | en_US |
| dc.subject.jel | | E32 | | en_US |
| dc.subject.jel | | E52 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Sticky Prices | | en_US |
| dc.subject.keyword | | Monetary Policy | | en_US |
| dc.subject.keyword | | Disaggregated Prices | | en_US |
| dc.subject.keyword | | Imperfect Competition | | en_US |
| dc.subject.keyword | | Factor-Augmented Vector Autoregression Model (FAVAR) | | en_US |
| dc.subject.stw | | Wirtschaftslage | | en_US |
| dc.subject.stw | | Konjunktur | | en_US |
| dc.subject.stw | | Geldpolitik | | en_US |
| dc.subject.stw | | Inflationsrate | | en_US |
| dc.subject.stw | | Preisrigidität | | en_US |
| dc.subject.stw | | VAR-Modell | | en_US |
| dc.title | | Sticky prices and monetary policy: Evidence from disaggregated US data | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 527633054 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:cfswop:200714 | | - |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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