Are Sticky Prices Costly? Evidence from the Stock Market
Are Sticky Prices Costly? Evidence from the Stock Market
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粘性价格成本高吗？
DOI：
10.2139/ssrn.2228983
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
Ander Pérez
中科院分区：
文献类型：
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作者：
Filippo Ippolito;Ali K. Ozdagli;Ander Pérez
我们发现，在货币政策宣布后，股票市场收益率的条件波动率上升更多的粘性价格的公司比更灵活的价格的公司。这种差异反应在经济上是巨大的，并且对广泛的检查具有惊人的鲁棒性。这些结果表明，菜单成本-广义上包括价格调整的物理成本，信息摩擦等-是微观层面名义价格刚性的重要因素。我们还表明，我们的实证结果是定性的，并在合理的校准，定量与新凯恩斯主义的宏观经济模型中，企业有异质价格粘性一致。(JEL E12、E31、E43、E44、E52、G12、L11）
We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These results suggest that menu costs—broadly defined to include physical costs of price adjustment, informational frictions, etc.—are an important factor for nominal price rigidity at the micro level. We also show that our empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness. (JEL E12, E31, E43, E44, E52, G12, L11)