Search Results

SORT BY: PREVIOUS / NEXT
Author:Villar Vallenas, Daniel 

Working Paper
The Skewness of the Price Change Distribution : A New Touchstone for Sticky Price Models

We present a new way of empirically evaluating various sticky price models used to assess the degree of monetary non-neutrality. While menu cost models uniformly predict that price change skewness and dispersion fall with inflation, in the Calvo model both rise. However, CPI price data from the late 1970's onwards shows that skewness does not fall with inflation, while dispersion does. We develop a random menu cost model that, with a menu cost distribution that has a strong Calvo feature, can match the empirical patterns found. The model therefore exhibits much more monetary non-neutrality ...
Finance and Economics Discussion Series , Paper 2017-028

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

E24 2 items

E31 2 items

D22 1 items

D40 1 items

E32 1 items

E47 1 items

show more (4)

FILTER BY Keywords

PREVIOUS / NEXT