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dc.contributor.authorBoivin, Jeanen_US
dc.contributor.authorGiannoni, Marc P.en_US
dc.contributor.authorMihov, Ilianen_US
dc.date.accessioned2007-04-24en_US
dc.date.accessioned2009-07-24T13:48:21Z-
dc.date.available2009-07-24T13:48:21Z-
dc.date.issued2006en_US
dc.identifier.piurn:nbn:de:hebis:30-38244-
dc.identifier.urihttp://hdl.handle.net/10419/25515-
dc.description.abstractThis 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.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2007/14en_US
dc.subject.jelE32en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordSticky Pricesen_US
dc.subject.keywordMonetary Policyen_US
dc.subject.keywordDisaggregated Pricesen_US
dc.subject.keywordImperfect Competitionen_US
dc.subject.keywordFactor-Augmented Vector Autoregression Model (FAVAR)en_US
dc.subject.stwWirtschaftslageen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwInflationsrateen_US
dc.subject.stwPreisrigiditäten_US
dc.subject.stwVAR-Modellen_US
dc.titleSticky prices and monetary policy: Evidence from disaggregated US dataen_US
dc.typeWorking Paperen_US
dc.identifier.ppn527633054en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200714-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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