Are Sticky Prices Costly? Evidence from the Stock Market

By Y. Gorodnichenko, Michael Weber. 2016

315 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dca112b2552378b1bbe8fe1cb7ddbd2a3cc937e3

Citations in the corpus

• The Voice of Monetary Policy (2021, unknown): “…find clear responses to policy announcements at the intraday frequencies (e.g., Kuttner, 2001, Swanson, 2021), we use the daily frequency which, given the dramatic volatility of some financial indicators, often yields statistically insignificant estimates (see, e.g., Gorodnichenko and Weber, 2016).”
• Financial Heterogeneity and the Investment Channel of Monetary Policy (2018, unknown): “Following Gurkaynak, Sack, and Swanson (2005) and Gorodnichenko and Weber (2016), we construct our shock εmt as εmt = τ(t)× (ffrt+ + − ffrt− −), (1) where t is the time of the monetary announcement, ffrt is the implied Fed Funds Rate from a current-month Federal Funds future contract at time t, +,…”
• The Impact of Unconventional Monetary Policy on Firm Financing Constraints: Evidence from the Maturity Extension Program (2015, unknown): “For example, the capital intensity of a firm might shape its stock price reaction to the MEP, as more capital‐intensive firms might be subject to less wage stickiness, and their stock returns might be less volatile in response to monetary shocks (Gorodnichenko and Weber (2013) and Barattieri, Basu, ”
• The Transmission of Monetary Policy through Bank Lending: The Floating Rate Channel (2017, unknown): “For these reasons, we follow Gorodnichenko and Weber (2014), English, Van den Heuvel, and Zakrajsek (2014) and Chodorow-Reich (2014), who also study stock prices to shed light on the transmission of monetary policy.”
• The propagation of monetary policy shocks in a heterogeneous production economy (2018, unknown): “I/O linkages per se amplify the real effects of monetary policy, as in Nakamura and Steinsson (2008). However, heterogeneity in consumption shares and I/O linkages does not matter, because sectoral production and consumption shares do not produce wedges.”
• Managing Households' Expectations with Unconventional Policies (2020, unknown): “Correia et al. (2013) formalize the ideas in Shapiro (1991), Feldstein (2002), and Hall (2011) and study unconventional fiscal policy in a New Keynesian model.”
• Inflation Dynamics During the Financial Crisis (2015, unknown): “7 We also use the quality-adjusted good-level prices to calculate other price-change characteristics, such as frequency of price changes, positive/negative price changes, (6)Weber (2014) and Gorodnichenko and Weber (2016) also consider a matched sample of publicly traded firms to study asset pricing”
• Monetary Policy Through Production Networks: Evidence from the Stock Market (2017, unknown): “We add policy shocks vt in a given quarter and treat this sum as the unanticipated shock to match the lower frequency, following Gorodnichenko and Weber (2016).”
• Dissecting Characteristics Nonparametrically (2020, unknown): “Goto and Xu (2015) use a LASSO to obtain a sparse estimator of the inverse covariance matrix for mean variance portfolio optimization.”