How Rigid are Producer Prices?

Goldberg, Pinelopi Koujianou; Hellerstein, Rebecca

doi:10.2139/ssrn.1515778

Cited by 43 publications

(43 citation statements)

References 59 publications

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“…Bils and Klenow (2004) and Nakamura and Steinsson (2008) use the microdata underlying the Consumer Price Index (CPI) at the BLS to show that prices are fixed for roughly six months and that substantial heterogeneity is present in price stickiness across industries. Goldberg and Hellerstein (2011) confirm these findings for producer prices.…”

Section: A1 Macroeconomicssupporting

confidence: 79%

Nominal Rigidities and Asset Pricing

Weber

2014

SSRN Journal

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This paper examines the asset-pricing implications of nominal rigidities. I find that firms that adjust their product prices infrequently earn a cross-sectional return premium of more than 4% per year. Merging confidential product price data at the firm level with stock returns, I document that the premium for sticky-price firms is a robust feature of the data and is not driven by other firm and industry characteristics. The consumption-wealth ratio is a strong predictor of the return differential in the time series, and differential exposure to systematic risk fully explains the premium in the cross section. The sticky-price portfolio has a conditional market β of 1.3, which is 0.4 higher than the β of the flexible-price portfolio. The frequency of price adjustment is therefore a strong determinant of the cross section of stock returns. To rationalize these facts, I develop a multi-sector production-based asset-pricing model with sectors differing in their frequency of price adjustment.JEL classification: E12, E44, E52, G12

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Section: A1 Macroeconomicssupporting

confidence: 79%

Nominal Rigidities and Asset Pricing

Weber

2014

SSRN Journal

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“…Using BLS data on contractual arrangements between firms trading intermediate goods, Goldberg and Hellerstein (2011) find that one-third of all transactions are conducted under contract.…”

Section: Ivd Discussion Of the Assumptionsmentioning

confidence: 99%

Aggregate Demand, Idle Time, and Unemployment

Michaillat

Saez

2014

SSRN Journal

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“…As emphasized by Nakamura and Steinsson (2008) and Goldberg and Hellerstein (2009), the good-level PPI data are transactions-based prices that are representative of the entire US production sector and are consistently sampled, both across production units and time. Goods produced by each firm are uniquely identified, according to their price-determining characteristics such as the type of buyer, the type of market transaction, the method of shipment, the size and units of shipment, the freight type, and the day of the month of the transaction.…”

Section: A Data Sources and Methodsmentioning

confidence: 99%

Inflation Dynamics during the Financial Crisis

Gilchrist

Schoenle

Sim

et al. 2017

American Economic Review

266

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In spite of substantial and persistent economic slack, the United States experienced only a mild disinflation during the Great Recession and its aftermath. Consumer price inflation, measured by the core personal consumption expenditures price index, averaged 2 percent between 2003 and 2007 and only declined to an average annual rate of about 1.5 percent over the following eight years, a period that saw the deepest contraction in economic activity since the Great Depression, followed by an uneven and weak recovery. Among many economists, the absence of more pronounced deflationary pressures during this period has cast doubt on the empirical relevance of the Phillips curve-a central tenet of most standard macroeconomic models-which posits that a high level of resource underutilization should cause inflation to fall over time (Hall 2011;King and Watson 2012). NW, Washington, DC 20551 (e-mail: egon.zakrajsek@frb.gov). We thank Rudi Bachmann, Mark Bils, Marco Del Negro, Etienne Gagnon, Marc Giannoni, Yuriy Gorodnichenko, Jim Kahn, Pete Klenow, Emi Nakamura, Joe Vavra, and three anonymous referees for helpful comments and suggestions; we also benefited from comments from participants at numerous conferences and seminars. We are especially grateful to Kristen Reed, Ryan Ogden, and Rozi Ulics of the Bureau of Labor Statistics for their invaluable help with this project and to Jonathan Weinhagen for sharing his expertise with the PPI data.

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How Rigid are Producer Prices?

Cited by 43 publications

References 59 publications

Nominal Rigidities and Asset Pricing

Nominal Rigidities and Asset Pricing

Aggregate Demand, Idle Time, and Unemployment

Inflation Dynamics during the Financial Crisis

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