中文摘要
总体波动性的变化是否会改变产出对货币政策的脉冲响应？我使用可信外生的油价波动冲击，并利用各行业石油使用强度的异质性表明，当波动性较高时，PPI分项层面的价格变动变得更不频繁且更为分散。这意味着当总体波动性较高时，总体价格灵活性并未提高。我构建了一个带有随机菜单成本的状态依存定价模型来解释这些发现。与新的经验事实相匹配，模型表明总体波动性的上升并未显著降低货币政策的有效性。(JEL E23, E31, E52, Q31, Q35)
Abstract
Do changes in aggregate volatility alter the impulse response of output to monetary policy? I use plausibly exogenous oil price volatility shocks and exploit heterogeneity in oil usage across industries to show that PPI item-level price changes become less frequent and more dispersed when volatility is high. This implies aggregate price flexibility does not increase when aggregate volatility is high. I construct a state-dependent pricing model with random menu costs to interpret the findings. Matching the new empirical facts, the model shows that increases in aggregate volatility do not substantially reduce monetary policy effectiveness. (JEL E23, E31, E52, Q31, Q35)