The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Are Sticky Prices Costly? Evidence from the Stock Market
Open accessAbstract
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)
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
Driscoll, J. C., & Kraay, A. C. (1998) · Review of Economics and Statistics · doi:10.1162/003465398557825 · Cited by 6,865
Cited by
Dissecting Characteristics Nonparametrically
Freyberger, J., Neuhierl, A., & Weber, M. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz123 · Cited by 619
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Metadata
- Authors
- Gorodnichenko, Y., & Weber, M.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2016-01-01
- Volume
- 106
- Issue
- 1
- Pages
- 165-199
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W3122991868
- Cited by
- 369
- References
- 3
- FWCI
- 77.43
- Type
- journal article
- Language
- en
- Open access
- bronze
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