The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments

Gee Hee Hong, Matthew Klepacz, Ernesto Pasten and Raphael Schoenle

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: Cross-sectional variation in micro data can be used to empirically evaluate sufficient statistics for the response of aggregate variables to policy shocks of interest. We demonstrate an easy-to-use approach through a detailed example. We evaluate the sufficiency of micro pricing moments for the aggregate real effects of monetary policy shocks. Our analysis shows how a widely held notion about the kurtosis of price changes, as sufficient for summarizing the selection effect, turns out not to hold empirically. On theoretical grounds, we show how a small change in assumptions - removing random menu costs - can nonetheless reconcile the predictions of the existing theoretical literature with our empirical regularities.

Date: 2020-04
New Economics Papers: this item is included in nep-cba and nep-mon
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The real effects of monetary shocks: Evidence from micro pricing moments (2023)
Working Paper: The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:875

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