메뉴 건너뛰기




Volumn 37, Issue 3, 2013, Pages 543-560

Changes in the effects of monetary policy on disaggregate price dynamics

Author keywords

Disaggregate prices; Heterogeneous pricing decisions; Monetary transmission; Structural FAVAR; Time variation

Indexed keywords


EID: 84872860122     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2012.09.009     Document Type: Article
Times cited : (41)

References (45)
  • 2
    • 0002562113 scopus 로고    scopus 로고
    • Optimal monetary policy responses to relative-price changes
    • Aoki K. Optimal monetary policy responses to relative-price changes. Journal of Monetary Economics 2001, 48:55-80.
    • (2001) Journal of Monetary Economics , vol.48 , pp. 55-80
    • Aoki, K.1
  • 3
    • 0036221554 scopus 로고    scopus 로고
    • Determining the number of factors in approximate factor models
    • Bai J., Ng S. Determining the number of factors in approximate factor models. Econometrica 2002, 70:191-221.
    • (2002) Econometrica , vol.70 , pp. 191-221
    • Bai, J.1    Ng, S.2
  • 4
    • 33847297486 scopus 로고    scopus 로고
    • The relative price effects of monetary shocks
    • Balke N., Wynne M. The relative price effects of monetary shocks. Journal of Macroeconomics 2007, 29:19-36.
    • (2007) Journal of Macroeconomics , vol.29 , pp. 19-36
    • Balke, N.1    Wynne, M.2
  • 5
    • 0347540117 scopus 로고    scopus 로고
    • The cost channel of monetary transmission
    • Barth M.J., Ramey V. The cost channel of monetary transmission. NBER Macroeconomics Annual 2001, 16:199-239.
    • (2001) NBER Macroeconomics Annual , vol.16 , pp. 199-239
    • Barth, M.J.1    Ramey, V.2
  • 6
    • 38749098437 scopus 로고    scopus 로고
    • U.S. Evolving Macroeconomic Dynamics: A Structural Investigation
    • European Central Bank Working Paper 476.
    • Benati, L., Mumtaz, H., 2007. U.S. Evolving Macroeconomic Dynamics: A Structural Investigation. European Central Bank Working Paper 476.
    • (2007)
    • Benati, L.1    Mumtaz, H.2
  • 7
    • 74349127207 scopus 로고    scopus 로고
    • VAR analysis and the great moderation
    • Benati L., Surico P. VAR analysis and the great moderation. American Economic Review 2009, 99:1636-1652.
    • (2009) American Economic Review , vol.99 , pp. 1636-1652
    • Benati, L.1    Surico, P.2
  • 9
    • 15544377383 scopus 로고    scopus 로고
    • Measuring the effects of monetary policy. a factor-augmented vector autoregressive FAVAR Approach
    • Bernanke B., Boivin J., Eliasz P. Measuring the effects of monetary policy. a factor-augmented vector autoregressive FAVAR Approach. Quarterly Journal of Economics 2005, 120:387-422.
    • (2005) Quarterly Journal of Economics , vol.120 , pp. 387-422
    • Bernanke, B.1    Boivin, J.2    Eliasz, P.3
  • 10
    • 4544260608 scopus 로고    scopus 로고
    • Some evidence on the importance of sticky prices
    • Bils M., Klenow P. Some evidence on the importance of sticky prices. Journal of Political Economy 2004, 112:947-985.
    • (2004) Journal of Political Economy , vol.112 , pp. 947-985
    • Bils, M.1    Klenow, P.2
  • 11
    • 0002794359 scopus 로고
    • Why are prices sticky? Preliminary results from an interview study
    • Blinder A. Why are prices sticky? Preliminary results from an interview study. American Economic Review 1991, 81:89-96.
    • (1991) American Economic Review , vol.81 , pp. 89-96
    • Blinder, A.1
  • 13
    • 70149119009 scopus 로고    scopus 로고
    • Sticky prices and monetary policy. evidence from disaggregated U.S. data
    • Boivin J., Giannoni M., Mihov I. Sticky prices and monetary policy. evidence from disaggregated U.S. data. American Economic Review 2009, 99:350-384.
    • (2009) American Economic Review , vol.99 , pp. 350-384
    • Boivin, J.1    Giannoni, M.2    Mihov, I.3
  • 14
    • 84892233930 scopus 로고    scopus 로고
    • What VAR tell us about DSGE models
    • Springer, Verlag, C. Diebolt, C. Kyrtsou (Eds.)
    • Canova F., Pina J. What VAR tell us about DSGE models. New Trends in Macroeconomics 2005, Springer, Verlag. C. Diebolt, C. Kyrtsou (Eds.).
    • (2005) New Trends in Macroeconomics
    • Canova, F.1    Pina, J.2
  • 15
    • 84872835256 scopus 로고    scopus 로고
    • Relative Price Dynamics and the Aggregate Economy. 〈〉.
    • Carlstrom, C., Fuerst, T., Ghironi, F., Hernández, K., 2006. Relative Price Dynamics and the Aggregate Economy. 〈〉. http://copland.udel.edu/~kolver/research/papers/2sec/persistence.pdf.
    • (2006)
    • Carlstrom, C.1    Fuerst, T.2    Ghironi, F.3    Hernández, K.4
  • 16
    • 33846024751 scopus 로고    scopus 로고
    • Heterogeneity in price stickiness and the real effects of monetary shocks
    • Carvalho C. Heterogeneity in price stickiness and the real effects of monetary shocks. Frontiers of Macroeconomics 2006, 2(1):1-56.
    • (2006) Frontiers of Macroeconomics , vol.2 , Issue.1 , pp. 1-56
    • Carvalho, C.1
  • 17
    • 78649403418 scopus 로고    scopus 로고
    • Monetary policy, inflation expectations and the price puzzle
    • Castelnuovo E., Surico P. Monetary policy, inflation expectations and the price puzzle. Economic Journal 2010, 549:1262-1283.
    • (2010) Economic Journal , vol.549 , pp. 1262-1283
    • Castelnuovo, E.1    Surico, P.2
  • 18
    • 0000915180 scopus 로고
    • Arbitrage, factor structure, and mean-variance analysis on large asset markets
    • Chamberlain G., Rothschild M. Arbitrage, factor structure, and mean-variance analysis on large asset markets. Econometrica 1983, 51:1281-1304.
    • (1983) Econometrica , vol.51 , pp. 1281-1304
    • Chamberlain, G.1    Rothschild, M.2
  • 19
    • 84872854015 scopus 로고    scopus 로고
    • The Great Increase in Relative Volatility of Real Wages in the United States.
    • Champagne, J., Kurmann, A., 2011. The Great Increase in Relative Volatility of Real Wages in the United States. 〈〉. http://ideas.repec.org/p/lvl/lacicr/1010.html.
    • (2011)
    • Champagne, J.1    Kurmann, A.2
  • 20
    • 33646189673 scopus 로고    scopus 로고
    • Inflation dynamics and the cost channel of monetary transmission
    • Chowdhury I., Hoffmann M., Schabert A. Inflation dynamics and the cost channel of monetary transmission. European Economic Review 2006, 50:955-1016.
    • (2006) European Economic Review , vol.50 , pp. 955-1016
    • Chowdhury, I.1    Hoffmann, M.2    Schabert, A.3
  • 21
    • 33747514509 scopus 로고    scopus 로고
    • Disaggregate evidence on the persistence of consumer price inflation
    • Clark T. Disaggregate evidence on the persistence of consumer price inflation. Journal of Applied Econometrics 2006, 21:563-587.
    • (2006) Journal of Applied Econometrics , vol.21 , pp. 563-587
    • Clark, T.1
  • 22
    • 16244417799 scopus 로고    scopus 로고
    • Drift and volatilities. monetary policies and outcomes in the post WWII U.S.
    • Cogley T., Sargent T.J. Drift and volatilities. monetary policies and outcomes in the post WWII U.S. Review of Economic Dynamics 2005, 8:262-302.
    • (2005) Review of Economic Dynamics , vol.8 , pp. 262-302
    • Cogley, T.1    Sargent, T.J.2
  • 25
    • 78649958442 scopus 로고    scopus 로고
    • Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles
    • Staff Reports 326, Federal Reserve Bank of New York.
    • Del Negro, M., Otrok, C., 2008. Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles. Staff Reports 326, Federal Reserve Bank of New York.
    • (2008)
    • Del Negro, M.1    Otrok, C.2
  • 26
    • 79960364553 scopus 로고    scopus 로고
    • A two-step estimator for large approximate dynamic factor models based on Kalman filtering
    • Doz C., Giannone D., Reichlin L. A two-step estimator for large approximate dynamic factor models based on Kalman filtering. Journal of Econometrics 2011, 164:188-205.
    • (2011) Journal of Econometrics , vol.164 , pp. 188-205
    • Doz, C.1    Giannone, D.2    Reichlin, L.3
  • 28
    • 84862914105 scopus 로고    scopus 로고
    • Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
    • CEPR Discussion Paper 7692.
    • Forni, M., Gambetti, L., 2010. Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model. CEPR Discussion Paper 7692.
    • (2010)
    • Forni, M.1    Gambetti, L.2
  • 31
    • 0039447737 scopus 로고    scopus 로고
    • Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle
    • Kim C.-J., Nelson C.R. Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle. Review of Economics and Statistics 1999, 81:608-616.
    • (1999) Review of Economics and Statistics , vol.81 , pp. 608-616
    • Kim, C.-J.1    Nelson, C.R.2
  • 32
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop G., Pesaran M.H., Potter S. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 1996, 74:119-147.
    • (1996) Journal of Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, M.H.2    Potter, S.3
  • 33
    • 84874709193 scopus 로고    scopus 로고
    • Assessing the transmission of monetary policy shocks using time-varying parameter dynamic factor models
    • Oxford Bulletin of Economics and Statistics, , in press.
    • Korobilis, D. Assessing the transmission of monetary policy shocks using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, , in press. http://dx.doi.org/10.1111/j.1468-0084.2011.00687.x.
    • Korobilis, D.1
  • 34
    • 3042673957 scopus 로고    scopus 로고
    • International business cycles. world, region, and country-specific factors
    • Kose M.A., Otrok C., Whiteman C.H. International business cycles. world, region, and country-specific factors. American Economic Review 2003, 93:1216-1239.
    • (2003) American Economic Review , vol.93 , pp. 1216-1239
    • Kose, M.A.1    Otrok, C.2    Whiteman, C.H.3
  • 35
    • 33845750213 scopus 로고    scopus 로고
    • Inflation and the distribution of relative prices. the role of productivity and money supply shocks
    • Lastrapes W. Inflation and the distribution of relative prices. the role of productivity and money supply shocks. Journal of Money, Credit and Banking 2006, 38:2159-2198.
    • (2006) Journal of Money, Credit and Banking , vol.38 , pp. 2159-2198
    • Lastrapes, W.1
  • 36
    • 2442527511 scopus 로고    scopus 로고
    • Testing for indeterminacy. an application to U.S. monetary policy
    • Lubik T., Schorfheide F. Testing for indeterminacy. an application to U.S. monetary policy. American Economic Review 2004, 94:190-217.
    • (2004) American Economic Review , vol.94 , pp. 190-217
    • Lubik, T.1    Schorfheide, F.2
  • 37
    • 0000118629 scopus 로고    scopus 로고
    • Output fluctuations in the united states. what has changed since the early 1980's?
    • McConnell M., Pérez-Quirós G. Output fluctuations in the united states. what has changed since the early 1980's?. American Economic Review 2000, 90:1464-1476.
    • (2000) American Economic Review , vol.90 , pp. 1464-1476
    • McConnell, M.1    Pérez-Quirós, G.2
  • 38
    • 84863866510 scopus 로고    scopus 로고
    • Evolving International Inflation Dynamics: World and Country-Specific Factors
    • Mumtaz, H., Surico, P., 2012 Evolving International Inflation Dynamics: World and Country-Specific Factors. Journal of the European Economic Association, 10, 716-734.
    • (2012) Journal of the European Economic Association , vol.10 , pp. 716-734
    • Mumtaz, H.1    Surico, P.2
  • 39
    • 84872836065 scopus 로고    scopus 로고
    • How Well Do the Sticky Price Models Explain the Disaggregated Price Responses to Aggregate Technology and Monetary Policy Shocks?
    • IMES Discussion Paper Series 2010-E-22.
    • Nakajima, J., Sudo, N., Tsuruga, T., 2010. How Well Do the Sticky Price Models Explain the Disaggregated Price Responses to Aggregate Technology and Monetary Policy Shocks? IMES Discussion Paper Series 2010-E-22.
    • (2010)
    • Nakajima, J.1    Sudo, N.2    Tsuruga, T.3
  • 40
    • 49449094876 scopus 로고    scopus 로고
    • Five facts about prices. a reevaluation of menu cost models
    • Nakamura E., Steinsson J. Five facts about prices. a reevaluation of menu cost models. Quarterly Journal of Economics 2008, 123:1415-1464.
    • (2008) Quarterly Journal of Economics , vol.123 , pp. 1415-1464
    • Nakamura, E.1    Steinsson, J.2
  • 41
    • 22144440111 scopus 로고    scopus 로고
    • Time varying structural vector autoregressions and monetary policy
    • Primiceri G.E. Time varying structural vector autoregressions and monetary policy. Review of Economic Studies 2005, 72:821-852.
    • (2005) Review of Economic Studies , vol.72 , pp. 821-852
    • Primiceri, G.E.1
  • 42
    • 33846516252 scopus 로고    scopus 로고
    • Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model
    • Rabanal P. Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model. Journal of Economic Dynamics and Control 2007, 31:906-937.
    • (2007) Journal of Economic Dynamics and Control , vol.31 , pp. 906-937
    • Rabanal, P.1
  • 44
    • 0000861678 scopus 로고
    • Capital markets and economic fluctuations in capitalist economies
    • Stiglitz J. Capital markets and economic fluctuations in capitalist economies. European Economic Review 1992, 36:269-306.
    • (1992) European Economic Review , vol.36 , pp. 269-306
    • Stiglitz, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.