美联储-菜单成本经济中的非线性动力学？来自美国数据的证据（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Nonlinear Dynamics in Menu Cost Economies? Evidence fromU.S. DataAndres Blanco, Corina Boar, Callum Jones, Virgiliu Midrigan2024-076Please cite this paper as:Blanco, Andres, Corina Boar, Callum Jones, and Virgiliu Midrigan (2024).“NonlinearDynamics in Menu Cost Economies? Evidence from U.S. Data,” Finance and EconomicsDiscussion Series 2024-076. Washington: Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2024.076.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Nonlinear Dynamics in Menu Cost Economies?Evidence from U.S. Data∗Andres Blanco†Corina Boar‡Callum Jones§Virgiliu Midrigan¶July 2024AbstractWe show that standard menu cost models cannot simultaneously reproduce thedispersion in the size of micro-price changes and the extent to which the fraction ofprice changes increases with inflation in the U.S. time-series. Though the Golosov andLucas (2007) model generates fluctuations in the fraction of price changes, it predictstoo little dispersion in the size of price changes and therefore little monetary non-neutrality.In contrast, versions of the model that reproduce the dispersion in thesize of price changes and generate stronger monetary non-neutrality predict a nearlyconstant fraction of price changes.Keywords: menu costs, inflation, fraction of price changes.∗We thank Hugh Montag and Daniel Villar for sharing the data on the fraction of price changes. Theviews expressed here are those of the authors and not necessarily those of the Federal Reserve Bank of Atlantaor the Federal Reserve Board.†Federal Reserve Bank of Atlanta, julioablanco84@gmail.com.‡New York University and NBER, corina.boar@nyu.edu.§Federal Reserve Board, callum.j.jones@frb.gov.¶New York University and NBER, virgiliu.midrigan@nyu.edu.1IntroductionA robust feature of the data is that the fraction of price changes increases in periods of highinflation.1 It is widely believed that menu cost models can reproduce this pattern becausefirms choose endogenously the timing of price changes and are more likely to respond tolarger shocks. Whether this is indeed the case or not has important implications for theextent to which the slope of the Phillips curve varies in the time-series and therefore thetradeoff between inflation and output stabilization faced by monetary policy.2Because in menu cost models the distribution of price changes also critically shapes theslope of the Phillip