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Replication data for: Are Sticky Prices Costly? Evidence from the Stock Market

Resource Type
  • Gorodnichenko, Yuriy
  • Weber, Michael
Publication Date
  • Abstract

    We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These results suggest that menu costs—broadly defined to include physical costs of price adjustment, informational frictions, etc.—are an important factor for nominal price rigidity at the micro level. We also show that our empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness. (JEL E12, E31, E43, E44, E52, G12, L11)
  • Is supplement to
    DOI: 10.1257/aer.20131513 (Text)
  • Gorodnichenko, Yuriy, and Michael Weber. “Are Sticky Prices Costly? Evidence from the Stock Market.” American Economic Review 106, no. 1 (January 2016): 165–99.
    • ID: 10.1257/aer.20131513 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Gorodnichenko, Yuriy; Weber, Michael (2016): Replication data for: Are Sticky Prices Costly? Evidence from the Stock Market. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.