Topics in Macroeconomics

宏观经济学中的一个中心问题是货币政策如何影响经济。货币传导机制的标准理论假设许多商品和服务的价格在很长一段时间内是固定的。纳入这一假设的模型被各国央行广泛用于为货币政策决策提供信息。在过去的十年里，经济学家已经获得了关于单个商品和服务价格的详细数据。他们使用这些数据来衡量价格刚性的重要性。一系列重要的研究使用收集的数据来构建消费者价格指数，以衡量价格变化的频率。这些研究得出的结论是，不同商品的价格存在很大的异质性，但平均而言，价格大约每季度变化一次。这一发现对强调粘性价格重要性的模型构成了严峻挑战。我们的项目将使用详细的微观经济数据来评估一种名义刚性的经验重要性，到目前为止，这种类型的名义刚性在宏观经济学文献中没有得到太多关注。我们将这种僵化称为“参考价”现象。我们指的是商品价格在较长一段时间内在两个或三个价值之间波动的趋势。无论是现有的粘性价格模型还是弹性价格模型，都难以调和参考价格的重要性。我们记录了参考价格现象的普遍程度。其次，我们考察了参考价格之间转换的程度和时机是否与宏观经济变量相关，包括那些表征货币政策的变量。第三，我们评估我们的数据是否与价格根据事先设定的时间表变化的想法一致，即定价计划是否具有粘性。第四，我们记录了参考点集合的变化频率。这些信息揭示了公司改变计划而不是价格的频率。我们使用我们的实证结果来制定和评估替代货币模型。我们的研究基于两个详细的微观数据集。我们从北美最大的食品和药品零售商之一那里获得了第一批数据。我们可以访问大约60,000种产品的每周价格、售出数量和销售成本。产品在单位产品代码和商店级别定义。我们的样本期涵盖2003至2006年，包括大约40亿个数据条目。第二个数据集来自中西部一家拥有100家门店的杂货店连锁店。数据集包括每周对3500种商品的价格和销售收入的观察。样本期为9年，从1989年开始，因此涵盖了一次衰退和一次复苏。有了这些数据，就可以根据产品特征详细研究定价计划，而不太详细地研究它们在长达九年的持续时间内的坚持程度。

AbstractTOPICS IN MACROECONOMICSNSF SES 0721321Martin Eichenbaum and Sergio RebeloA central question in macroeconomics is how monetary policy affects the economy. Standard theories of the monetary transmission mechanism assume that the prices of many goods and services are fixed for extended periods of time. Models incorporating this assumption are widely used by central banks to inform monetary policy decisions. Over the past decade, economists have gained access to detailed data on prices of individual goods and services. They have used these data to measure the importance of price rigidity. An important series of studies uses the data that is collected to construct the Consumer Price Index to measure the frequency with which prices change. These studies conclude that there is substantial heterogeneity across different goods but that, on average, prices change roughly once a quarter. This finding poses a stark challenge to models which emphasize the importance of sticky prices. Our project will use detailed microeconomic data to assess the empirical importance of a type of nominal rigidity that has heretofore not received much attention in the macroeconomics literature. We refer to this rigidity as the "reference price" phenomenon. By this we mean the tendency of goods prices to oscillate between two or three values over extended periods of time. It is difficult to reconcile the importance of reference prices with either existing sticky-price models or flexible-price models. We document the extent to which the reference price phenomenon is pervasive. Second, we examine whether the extent and timing of switches between reference prices is correlated with macroeconomic variables, including those characterizing monetary policy. Third, we assess whether our data is consistent with the idea that prices change according to a schedule that is set in advance, i.e., whether pricing plans are sticky. Fourth, we document how often sets of reference points change. This information sheds light on how often firms change plans rather than prices. We use our empirical results to formulate and assess alternative monetary models.Our research is based on two detailed micro data sets. We obtained the first data set from one of the largest food and drug retailers in North America. We have access to weekly prices, quantities sold, and cost of goods sold for roughly 60,000 products. Products are defined at the unit product code and store level. Our sample period covers 2003 to 2006 and includes roughly four billion data entries. The second data set is from a chain of grocery stores in the Midwest with one hundred outlets. The data set consists of weekly observations on price and sales revenue for 3,500 items. The sample period covers 9 years, beginning in 1989, so that it encompasses one recession and one recovery. With these data, pricing plans can be studied by product characteristics in great detail and with regard to their degree of persistence over up to nine years in less detail.