【金融高端论坛】第一百一十四期

来源：财务与金融

主题：Countercyclical Dispersion of Price Changes: Causes and Implications

主讲人: 李明浩（北京大学国家发展研究院助理教授）

时间：2020-12-22 10:30

地点：线上腾讯会议

语言：中文

腾讯会议ID：851 955 481

内容摘要：

This paper studies the nature of countercyclical price change dispersion and revisits the real effects of monetary policy over the business cycle. Using Nielsen Retail Scanner data, I show that the increase in the dispersion of price changes during the Great Recession is largely driven by the diverging price adjustment between goods of different qualities. Prices of low-quality goods drop dramatically, while those of high-quality goods remain stable. Conversely, the contribution of increasing volatility of individual prices is negligible. By linking Nielsen Consumer Panel with Retail Scanner data, I find that households who purchase a larger fraction of low-quality goods during the recession become more price-sensitive, suggesting that sellers of low-quality goods face increasing elasticity of demand. Motivated by the empirical findings, I develop a quantitative multi-sector menu cost model incorporating countercyclical demand elasticity in the sector of low-quality goods. The model successfully replicates the countercyclical dispersion of price changes. Contrary to models driven by second-moment shocks, monetary policy is still very effective during recessions: the cumulative output response to a monetary policy shock is only 4% smaller in recessions.

报告人简介

李明浩，北京大学国家发展研究院助理教授，2020年获得美国耶鲁大学经济学博士学位，研究领域为宏观经济学和货币经济学。他的主要研究兴趣集中在货币政策的传导机制，包括经济体中的异质性和不完全信息如何影响货币政策的效果。

中国人民大学金融高端论坛组委会

财政金融学院保险系

商学院财务与金融系

财政金融学院应用金融系

财政金融学院货币金融系

汉青经济与金融高级研究院金融系

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