Details

Autor(en) / Beteiligte

• Baumeister, Christiane
• Liu, Philip
• Mumtaz, Haroon

Titel

Changes in the effects of monetary policy on disaggregate price dynamics

Ist Teil von

• Journal of economic dynamics & control, 2013-03, Vol.37 (3), p.543-560

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

2013

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• Based on a time-varying factor-augmented vector autoregression, we demonstrate that the propagation mechanism of monetary policy disturbances differs across disaggregate components of personal consumption expenditures. While many disaggregate prices rise temporarily in response to a monetary tightening in the early part of the sample, there is no evidence of a price puzzle at the aggregate level. The share of disaggregate prices that exhibit the price puzzle diminishes from the early 1980s onwards. There also is evidence of a substantial decline in the dispersion of disaggregate price responses over time. This gradual decrease in cross-sectional heterogeneity of disaggregate price responses is associated with a dampening effect on aggregate real economic activity and a stronger effect on the aggregate price level. We illustrate by means of a multi-sector sticky-price model augmented by a cost channel how key structural parameters would have had to change to match this evolution of sectoral price dynamics.