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dc.contributor.authorBoivin, Jeanen
dc.contributor.authorGiannoni, Marc P.en
dc.contributor.authorMihov, Ilianen
dc.date.accessioned2007-04-24-
dc.date.accessioned2009-07-24T13:48:21Z-
dc.date.available2009-07-24T13:48:21Z-
dc.date.issued2006-
dc.identifier.piurn:nbn:de:hebis:30-38244en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2007/14en
dc.subject.jelE32en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordSticky Pricesen
dc.subject.keywordMonetary Policyen
dc.subject.keywordDisaggregated Pricesen
dc.subject.keywordImperfect Competitionen
dc.subject.keywordFactor-Augmented Vector Autoregression Model (FAVAR)en
dc.subject.stwWirtschaftslageen
dc.subject.stwKonjunkturen
dc.subject.stwGeldpolitiken
dc.subject.stwInflationsrateen
dc.subject.stwPreisrigiditäten
dc.subject.stwVAR-Modellen
dc.titleSticky prices and monetary policy: Evidence from disaggregated US data-
dc.typeWorking Paperen
dc.identifier.ppn527633054en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200714en

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