Research

Publications:

The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments

 (with Gee Hee Hong, Ernesto Pasten, and Raphael Schoenle) Journal of Monetary Economics, Volume 139, October 2023 (lead Article) 

Empirically, what pricing moments are informative about monetary non-neutrality? The frequency of price changes is robustly informative among a set of pricing moments and across specifications: A lower frequency is statistically significantly associated with higher monetary non-neutrality, in line with models of price rigidities. Other moments that describe the price change distribution are not consistently or significantly related to monetary non-neutrality. While the frequency explains the largest share of variation in non-neutrality, no pricing moments individually or jointly explain a majority of the variation in a linear empirical setting. Non-pricing moments explain additional variation, however are not consistently associated with monetary non-neutrality. A multi-sector menu cost model featuring different price adjustment technologies across sectors can rationalize our main findings.

Working Papers:

Price Setting and Volatility: Evidence from Oil Price Volatility Shocks

October 2021, Revise and Resubmit AEJ:Macro

How do changes in aggregate volatility alter the impulse response of output to monetary policy? To analyze this question, I study whether individual prices in Producer Price Index micro data are more likely to change and to move in the same direction when aggregate volatility is high, which would increase aggregate price flexibility and reduce the effectiveness of monetary policy. Taking advantage of plausibly exogenous oil price volatility shocks and heterogeneity in oil usage across industries, I find that price changes are more dispersed and less frequent, implying that prices are less likely to move in the same direction when aggregate volatility is high. This contrasts with findings in the literature about idiosyncratic volatility. I use a state-dependent pricing model to interpret my findings. Random menu costs are necessary for the model to match the positive empirical relationship between oil price volatility and price change dispersion. This is the case because random menu costs reduce the extent to which firms with prices far from their optimum all act in a coordinated fashion when volatility increases. The model implies that increases in aggregate volatility do not substantially reduce the ability of monetary policy to stimulate output.

Firm Intangible Capital Investment and Pricing

February 2020 (with Robert Kurtzman)

Intangible capital has become  increasingly important for firm and aggregate dynamics. Standard models of intangible capital investment suggest firm-level intangible capital investment should on average lead to reductions in firm-level prices.  We test this hypothesis using BLS good-level data on prices matched to measures of intangible capital investment.  The findings suggest an economically significant reduction in prices following an increase in investment.  Analysis using industry-level data further confirms the negative relationship.

Equipment, Structures, and Uncertainty

December 2019

This paper studies the effects of uncertainty on investment with multiple types of capital. Firm-level evidence shows that idiosyncratic uncertainty has a differential effect on investment in equipment and structures. Both types of investment are dampened by heightened uncertainty, but the effect is larger on impact for equipment. Aggregate evidence from a structural vector autoregression is consistent and shows that investment in structures is slower to respond to an uncertainty shock, falling four quarters after an uncertainty shock while investment in equipment falls within one quarter. A model with two types of capital, short-lived equipment and long-lived structures, and non-convex adjustment costs is constructed to examine the role of uncertainty on investment purchases. The model has separate fixed costs of adjustment in each type of capital. An uncertainty shock decreases investment in both types of capital. 

Policy Notes:

Second-Round Effects of Oil Prices on Inflation in the Advanced Foreign Economies

(with Harun Alp and Akhil Saxena) FEDS Notes, December 2023

Work in Progress:

Seasonality and Monetary Non-Neutrality