Do multisectoral New Keynesian models match sectoral data?

Arbeitspapier

We document empirical regularities of disaggregated inflation and consumption and study whether multisectoral New Keynesian models can explain them. We focus on higher moments of the inflation and consumption growth distributions as well as on the contemporaneous comovement of these two variables. We find that the sectoral distributions of inflation and consumption growth are asymmetric, with inflation skewed negatively and consumption growth positively. Both distributions are highly leptokurtic. In the full sample, from the mid-1980s through 2021, sectoral inflation and consumption growth overall correlate negatively, indicating the prevalence of supply shocks over demand shocks. The negative correlation is robust across historical episodes during this period, except during the COVID-19 pandemic, when inflation and consumption growth comoved positively. While the baseline model can match some of these facts for a specific shock process, in its baseline setup the model struggles to match them simultaneously.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Papers ; No. 22-14

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Aggregative Models: Keynes; Keynesian; Post-Keynesian ; Price Level; Inflation; Deflation ; Business Fluctuations; Cycles ; Monetary Policy
• Thema: disaggregated inflation ; multisectoral models ; idiosyncratic shocks

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Andrade, Philippe ; Sheremirov, Viacheslav
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of Boston
• (wo): Boston, MA
• (wann): 2022

Weitere Informationen

• DOI: doi:10.29412/res.wp.2022.14
• Handle: http://hdl.handle.net/10419/273035
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ