English, Article, Journal or magazine article edition: Sectoral Price Data and Models of Price Setting Mackowiak, Bartosz Adam; Moench, Emanuel; Wiederholt, Mirko

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Sectoral Price Data and Models of Price Setting
Author
  • Mackowiak, Bartosz Adam
  • Moench, Emanuel
  • Wiederholt, Mirko
Physical Description
  • preprint
Notes
  • We estimate impulse responses of sectoral price indexes to aggregate shocks and to sector-specific shocks. In the median sector, 100 percent of the long-run response of the sectoral price index to a sector-specific shock occurs in the month of the shock. The standard Calvo model and the standard sticky-information model can match this finding only under extreme assumptions concerning the profit-maximizing price. The rational-inattention model of Ma´ckowiak and Wiederholt (2009a) can match this finding without an extreme assumption concerning the profit-maximizing price. Furthermore, there is little variation across sectors in the speed of response of sectoral price indexes to sector-specific shocks. The rational-inattention model matches this finding, while the Calvo model predicts too much cross-sectional variation.
  • Bayesian dynamic factor model; Calvo model; menu cost; rational inattention; sticky information
  • RePEc:cpr:ceprdp:7339
Language
  • English
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