Back to basics: sticky prices in the monetary transmission mechanism

I use the measures of frequency of price adjustment in Nakamura and Steinsson (2008) to show that stickier price industries have higher levels of output response to monetary policy shocks. Using a Vector Auto-regression model, I build different measures of response to a monetary policy shock of 14 U...

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Autores:
Roux Uribe, Nicolás de
Tipo de recurso:
Work document
Fecha de publicación:
2011
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/8286
Acceso en línea:
http://hdl.handle.net/1992/8286
Palabra clave:
Monetary transmission mechanism
Interest rate
Sticky prices
Financial frictions
Política monetaria - Investigaciones
Precios - Investigaciones
E31, E40, E52
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Roux Uribe, Nicolás dea073bbe7-4489-4665-b2fb-69d50d1b15ca6002018-09-27T16:51:52Z2018-09-27T16:51:52Z20111657-5334http://hdl.handle.net/1992/82861657-719110.57784/1992/8286instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/I use the measures of frequency of price adjustment in Nakamura and Steinsson (2008) to show that stickier price industries have higher levels of output response to monetary policy shocks. Using a Vector Auto-regression model, I build different measures of response to a monetary policy shock of 14 US industries. These measures are shown to be related to the level of price rigidity. More precisely, I find that if firms within an industry change prices twice as often as firms in another industry, output deviation from trend in response to a negative shock of 25 basis points will be 69 percentage points smaller in the less sticky industry. This result is stronger when I account for measurement error in the level of response.En este documento utilizo las frecuencias en el ajuste de precios de Nakamura y Steinsson (2008) para mostrar que las industrias que son más rígidas en precios tienen niveles más altos de respuesta a un choque de política monetaria. Mediante un análisis de Vector Autoregresivo (VAR), construyo diferentes medidas de respuesta a un choque de política monetaria para 14 industrias en los Estados Unidos y muestro que están relacionadas con el nivel de rigidez en precios de la industria. Más precisamente, si las firmas de una industria cambian los precios con una frecuencia dos veces más alta que las de otra industria, la desviación del producto de su tendencia, en respuesta a un choque negativo de 25 puntos básicos, es 69 puntos porcentuales menor en la industria menos rígida. Este resultado es más fuerte cuando corrijo por error de medición en el nivel de respuesta.22 páginasapplication/pdfengUniversidad de los Andes, Facultad de Economía, CEDEDocumentos CEDE No. 38 Septiembre de 2011https://ideas.repec.org/p/col/000089/009244.htmlBack to basics: sticky prices in the monetary transmission mechanismVolviendo a lo fundamental: las rigideces en precios y el mecanismo de transmisión monetariaDocumento de trabajoinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/resource_type/c_8042http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttps://purl.org/redcol/resource_type/WPMonetary transmission mechanismInterest rateSticky pricesFinancial frictionsPolítica monetaria - InvestigacionesPrecios - InvestigacionesE31, E40, E52Facultad de EconomíaPublicationTHUMBNAILdcede2011-38.pdf.jpgdcede2011-38.pdf.jpgIM Thumbnailimage/jpeg8326https://repositorio.uniandes.edu.co/bitstreams/a07ca324-20b4-4053-b7fb-debf230c075c/download9c47dedb73f595e99f02fdb51c577270MD55ORIGINALdcede2011-38.pdfdcede2011-38.pdfapplication/pdf355843https://repositorio.uniandes.edu.co/bitstreams/551c4786-c4b2-4388-82c0-c3e9bf2fd719/downloadeb2161026cc9d4aac0d56054580a9f9fMD51TEXTdcede2011-38.pdf.txtdcede2011-38.pdf.txtExtracted texttext/plain51839https://repositorio.uniandes.edu.co/bitstreams/774f7e3c-c1d5-48f3-86fe-774a88d6eac6/download27ac197f282709460b7ac29383c23d6cMD541992/8286oai:repositorio.uniandes.edu.co:1992/82862024-06-04 15:46:47.458http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.none.fl_str_mv Back to basics: sticky prices in the monetary transmission mechanism
dc.title.alternative.none.fl_str_mv Volviendo a lo fundamental: las rigideces en precios y el mecanismo de transmisión monetaria
title Back to basics: sticky prices in the monetary transmission mechanism
spellingShingle Back to basics: sticky prices in the monetary transmission mechanism
Monetary transmission mechanism
Interest rate
Sticky prices
Financial frictions
Política monetaria - Investigaciones
Precios - Investigaciones
E31, E40, E52
title_short Back to basics: sticky prices in the monetary transmission mechanism
title_full Back to basics: sticky prices in the monetary transmission mechanism
title_fullStr Back to basics: sticky prices in the monetary transmission mechanism
title_full_unstemmed Back to basics: sticky prices in the monetary transmission mechanism
title_sort Back to basics: sticky prices in the monetary transmission mechanism
dc.creator.fl_str_mv Roux Uribe, Nicolás de
dc.contributor.author.none.fl_str_mv Roux Uribe, Nicolás de
dc.subject.keyword.none.fl_str_mv Monetary transmission mechanism
Interest rate
Sticky prices
Financial frictions
topic Monetary transmission mechanism
Interest rate
Sticky prices
Financial frictions
Política monetaria - Investigaciones
Precios - Investigaciones
E31, E40, E52
dc.subject.armarc.none.fl_str_mv Política monetaria - Investigaciones
Precios - Investigaciones
dc.subject.jel.none.fl_str_mv E31, E40, E52
description I use the measures of frequency of price adjustment in Nakamura and Steinsson (2008) to show that stickier price industries have higher levels of output response to monetary policy shocks. Using a Vector Auto-regression model, I build different measures of response to a monetary policy shock of 14 US industries. These measures are shown to be related to the level of price rigidity. More precisely, I find that if firms within an industry change prices twice as often as firms in another industry, output deviation from trend in response to a negative shock of 25 basis points will be 69 percentage points smaller in the less sticky industry. This result is stronger when I account for measurement error in the level of response.
publishDate 2011
dc.date.issued.none.fl_str_mv 2011
dc.date.accessioned.none.fl_str_mv 2018-09-27T16:51:52Z
dc.date.available.none.fl_str_mv 2018-09-27T16:51:52Z
dc.type.spa.fl_str_mv Documento de trabajo
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dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/workingPaper
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dc.identifier.doi.none.fl_str_mv 10.57784/1992/8286
dc.identifier.instname.spa.fl_str_mv instname:Universidad de los Andes
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identifier_str_mv 1657-5334
1657-7191
10.57784/1992/8286
instname:Universidad de los Andes
reponame:Repositorio Institucional Séneca
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url http://hdl.handle.net/1992/8286
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartofseries.none.fl_str_mv Documentos CEDE No. 38 Septiembre de 2011
dc.relation.repec.spa.fl_str_mv https://ideas.repec.org/p/col/000089/009244.html
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
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eu_rights_str_mv openAccess
dc.format.extent.none.fl_str_mv 22 páginas
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad de los Andes, Facultad de Economía, CEDE
publisher.none.fl_str_mv Universidad de los Andes, Facultad de Economía, CEDE
institution Universidad de los Andes
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