Seminarios

Coautores: Gee Hee Hong∗, Matthew Klepacz†, and Raphael Schoenle

Abstract: This paper evaluates the informativeness of pricing moments for monetarynon-neutrality. Empirically, frequency of price changes is robustly informative, inline with models of price rigidities. Other moments are insignificant, or becomeinsignificant when non-pricing moments are included. No pricing moment is asufficient statistic. Our theoretical analysis, focused on the ratio of kurtosis overfrequency of price changes in a quantitative menu cost model, finds an ambiguousrelationship of the ratio with monetary non-neutrality. This result stands incontrast with existing theoretical results. We explore which assumptions explainthe discrepancy, aligning theoretical and empirical results.

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