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首页> 外文期刊>Journal of Economic Dynamics and Control >Changes in the effects of monetary policy on disaggregate price dynamics
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Changes in the effects of monetary policy on disaggregate price dynamics

机译：货币政策对总体价格动态影响的变化

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摘要

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.
机译：基于时变因子增强的向量自回归，我们证明了货币政策干扰的传播机制在个人消费支出的各个分解组成部分上是不同的。尽管在样本初期，由于货币紧缩，许多分类价格暂时上涨，但没有证据表明总体水平上存在价格难题。从1980年代初开始，出现价格难题的分类价格份额逐渐减少。也有证据表明，随着时间的流逝，分类价格响应的分散性大幅下降。总体价格响应的横截面异质性的逐渐降低与对总体实际经济活动的抑制作用以及对总体价格水平的较强影响有关。我们通过一个多部门粘性价格模型来说明，该模型由成本渠道增强，如何必须改变关键的结构参数才能适应部门价格动态的这种演变。

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