期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2014
卷号：6
期号：7
页码：85
DOI：10.5539/ijef.v6n7p85
出版社：Canadian Center of Science and Education
摘要：This paper compares the stickiness of macroeconomic indicators and disaggregated prices in Japan using a factor-augmented vector autoregressive (FAVAR) approach. We present three main findings. First, fluctuations in common components are the main source of the volatility in disaggregated inflation rates, and generate most of the fluctuations in aggregate inflation. Second, disaggregated prices appear sticky in response to macroeconomic disturbances, but flexible in response to sector-specific shocks. Third, unexpected tight monetary policy shocks have a gradual negative effect on producer prices; however, only a minor effect was observed on consumer prices.
