A0608
Title: The real effects of monetary shocks: Evidence from micro pricing moments
Authors: Matt Klepacz - Federal Reserve Board (United States) [presenting]
Raphael Schoenle - Federal Reserve Bank of Cleveland and Brandeis University (United States)
Gee Hee Hong - IMF (United States)
Ernesto Pasten - Central Bank of Chile (Chile)
Abstract: The informativeness of pricing moments for monetary non-neutrality is evaluated. Empirically, the frequency of price changes is robustly informative, in line with models of price rigidities. Other moments are insignificant, or become insignificant when non-pricing moments are included. No pricing moment is a sufficient statistic. Our theoretical analysis, focused on the ratio of kurtosis over frequency of price changes in a quantitative menu cost model, finds an ambiguous relationship of the ratio with monetary non-neutrality. This result stands in contrast with existing theoretical results. We explore which assumptions explain the discrepancy, aligning theoretical and empirical results.
