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Finance and Economics Discussion Series: 2011-50 Data^♣

Distributional Dynamics Under Smoothly State-Dependent Pricing

James Costain*, Anton Nakov†

Banco de España; Federal Reserve Board

Figure 1a: Price change distributions and adjustment function (left panel): price changes: models versus data

size of log price changes	SSDP model	Calvo model	FMC model	AC Nielsen data
-0.5208	0.0001	0	0	0
-0.4792	0.0001	0	0	0
-0.4375	0.0004	0	0.0001	0.0025
-0.3958	0.0013	0	0.0005	0.0053
-0.3542	0.0026	0.0001	0.0028	0.0081
-0.3125	0.0065	0.0007	0.0214	0.0107
-0.2708	0.0131	0.0028	0.0616	0.0085
-0.2292	0.0276	0.0086	0.1209	0.0308
-0.1875	0.0472	0.0229	0.1825	0.0558
-0.1458	0.0976	0.0527	0.0547	0.056
-0.1042	0.1194	0.1138	0.0061	0.1136
-0.0625	0.1406	0.2053	0	0.1611
-0.0208	0.0807	0.221	0	0.0837
0.0208	0.1526	0.1771	0	0.1579
0.0625	0.1263	0.1064	0.0261	0.1384
0.1042	0.0815	0.0534	0.2432	0.0634
0.1458	0.0505	0.0232	0.1914	0.0369
0.1875	0.0296	0.0089	0.0704	0.0294
0.2292	0.0138	0.0024	0.0164	0.0193
0.2708	0.0052	0.0007	0.0017	0.0079
0.3125	0.0024	0.0001	0.0003	0.0086
0.3542	0.0008	0	0	0.0021
0.3958	0.0002	0	0	0
0.4375	0.0001	0	0	0
0.4792	0	0	0	0

Return to Figure 1

Figure 1b: Price change distributions and adjustment function (right panel): probability of adjustment function. alpha=0.0311 lambda=0.1089

loss from inaction	ksi=0.23 (SSDP)	ksi=1	ksi=0.05	ksi=50
0.000	0	0	0	0
0.001	0.0503	0.0033	0.0936	0
0.002	0.0586	0.0066	0.0966	0
0.003	0.0641	0.0099	0.0983	0
0.004	0.0683	0.0131	0.0996	0
0.005	0.0717	0.0163	0.1006	0
0.006	0.0746	0.0196	0.1014	0
0.007	0.0771	0.0227	0.1022	0
0.008	0.0794	0.0259	0.1028	0
0.009	0.0814	0.029	0.1033	0
0.010	0.0833	0.0322	0.1038	0
0.011	0.085	0.0353	0.1042	0
0.012	0.0866	0.0384	0.1047	0
0.013	0.0881	0.0414	0.105	0
0.014	0.0895	0.0445	0.1054	0
0.015	0.0909	0.0475	0.1057	0
0.016	0.0921	0.0505	0.106	0
0.017	0.0933	0.0535	0.1063	0
0.018	0.0945	0.0565	0.1066	0
0.019	0.0956	0.0594	0.1068	0
0.020	0.0966	0.0623	0.1071	0
0.021	0.0976	0.0653	0.1073	0
0.022	0.0986	0.0681	0.1075	0
0.023	0.0995	0.071	0.1077	0
0.024	0.1004	0.0739	0.1079	0
0.025	0.1013	0.0767	0.1081	0
0.026	0.1021	0.0796	0.1083	0
0.027	0.1029	0.0824	0.1085	0
0.028	0.1037	0.0851	0.1087	0
0.029	0.1045	0.0879	0.1089	0
0.030	0.1052	0.0907	0.109	0
0.031	0.1059	0.0934	0.1092	0
0.032	0.1067	0.0961	0.1093	0.0001
0.033	0.1073	0.0989	0.1095	0.0003
0.034	0.108	0.1015	0.1096	0.0014
0.035	0.1087	0.1042	0.1098	0.0058
0.036	0.1093	0.1069	0.1099	0.0231
0.037	0.1099	0.1095	0.11	0.0852
0.038	0.1106	0.1121	0.1102	0.2611
0.039	0.1112	0.1148	0.1103	0.5643
0.040	0.1117	0.1174	0.1104	0.8212
0.041	0.1123	0.1199	0.1106	0.9404
0.042	0.1129	0.1225	0.1107	0.9814
0.043	0.1134	0.1251	0.1108	0.9942
0.044	0.114	0.1276	0.1109	0.9981
0.045	0.1145	0.1301	0.111	0.9994
0.046	0.115	0.1326	0.1111	0.9998
0.047	0.1156	0.1351	0.1112	0.9999
0.048	0.1161	0.1376	0.1113	1
0.049	0.1166	0.1401	0.1114	1
0.050	0.117	0.1425	0.1115	1
0.051	0.1175	0.145	0.1116	1
0.052	0.118	0.1474	0.1117	1
0.053	0.1185	0.1498	0.1118	1
0.054	0.1189	0.1522	0.1119	1
0.055	0.1194	0.1546	0.112	1
0.056	0.1198	0.1569	0.1121	1
0.057	0.1203	0.1593	0.1122	1
0.058	0.1207	0.1616	0.1123	1
0.059	0.1211	0.164	0.1124	1
0.060	0.1215	0.1663	0.1124	1
0.061	0.122	0.1686	0.1125	1
0.062	0.1224	0.1709	0.1126	1
0.063	0.1228	0.1732	0.1127	1
0.064	0.1232	0.1754	0.1128	1
0.065	0.1236	0.1777	0.1128	1
0.066	0.124	0.1799	0.1129	1
0.067	0.1243	0.1821	0.113	1
0.068	0.1247	0.1844	0.1131	1
0.069	0.1251	0.1866	0.1131	1
0.070	0.1255	0.1888	0.1132	1
0.071	0.1258	0.1909	0.1133	1
0.072	0.1262	0.1931	0.1133	1
0.073	0.1265	0.1953	0.1134	1
0.074	0.1269	0.1974	0.1135	1
0.075	0.1272	0.1996	0.1136	1
0.076	0.1276	0.2017	0.1136	1
0.077	0.1279	0.2038	0.1137	1
0.078	0.1283	0.2059	0.1138	1
0.079	0.1286	0.208	0.1138	1
0.080	0.1289	0.2101	0.1139	1
0.081	0.1293	0.2121	0.1139	1
0.082	0.1296	0.2142	0.114	1
0.083	0.1299	0.2162	0.1141	1
0.084	0.1302	0.2183	0.1141	1
0.085	0.1305	0.2203	0.1142	1
0.086	0.1309	0.2223	0.1142	1
0.087	0.1312	0.2243	0.1143	1
0.088	0.1315	0.2263	0.1144	1
0.089	0.1318	0.2283	0.1144	1
0.090	0.1321	0.2303	0.1145	1
0.091	0.1324	0.2322	0.1145	1
0.092	0.1327	0.2342	0.1146	1
0.093	0.133	0.2361	0.1146	1
0.094	0.1332	0.2381	0.1147	1
0.095	0.1335	0.24	0.1147	1
0.096	0.1338	0.2419	0.1148	1
0.097	0.1341	0.2438	0.1149	1
0.098	0.1344	0.2457	0.1149	1
0.099	0.1347	0.2476	0.115	1
0.100	0.1349	0.2495	0.115	1

Return to Figure 1

Figure 2a: The real effects of nominal shocks across models (panel 11). Money growth process under iid money growth rule

Month	FMC	Calvo	SSDP
1	0	0	0
2	1	1	1
3	0	0	0
4	0	0	0
5	0	0	0
6	0	0	0
7	0	0	0
8	0	0	0
9	0	0	0
10	0	0	0
11	0	0	0
12	0	0	0
13	0	0	0
14	0	0	0
15	0	0	0
16	0	0	0
17	0	0	0
18	0	0	0
19	0	0	0
20	0	0	0

Return to Figure 2

Figure 2b: The real effects of nominal shocks across models (panel 12). Inflation under iid money growth rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	0.55	0.10	0.16
3	0.21	0.09	0.14
4	0.10	0.08	0.12
5	0.05	0.07	0.10
6	0.03	0.07	0.08
7	0.02	0.06	0.07
8	0.01	0.05	0.06
9	0.01	0.05	0.05
10	0.01	0.04	0.04
11	0.00	0.04	0.03
12	0.00	0.03	0.03
13	0.00	0.03	0.02
14	0.00	0.03	0.02
15	0.00	0.03	0.01
16	0.00	0.02	0.01
17	0.00	0.02	0.01
18	0.00	0.02	0.01
19	0.00	0.02	0.01
20	0.00	0.01	0.01

Return to Figure 2

Figure 2c: The real effects of nominal shocks across models (panel 13). Consumption under iid money growth rule

Figure 2: The real effects of nominal shocks across models (panel 13). Consumption under iid money growth rule
Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	0.23	0.45	0.42
3	0.12	0.40	0.35
4	0.07	0.36	0.29
5	0.04	0.32	0.24
6	0.03	0.29	0.20
7	0.02	0.26	0.16
8	0.01	0.23	0.13
9	0.01	0.21	0.11
10	0.01	0.19	0.09
11	0.01	0.17	0.07
12	0.01	0.15	0.06
13	0.00	0.13	0.05
14	0.00	0.12	0.04
15	0.00	0.11	0.03
16	0.00	0.10	0.02
17	0.00	0.09	0.02
18	0.00	0.08	0.02
19	0.00	0.07	0.01
20	0.00	0.06	0.01

Return to Figure 2

Figure 2d: The real effects of nominal shocks across models (panel 21). Money growth process under autocorrelated money growth rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	1.00	1.00	1.00
3	0.80	0.80	0.80
4	0.64	0.64	0.64
5	0.51	0.51	0.51
6	0.41	0.41	0.41
7	0.33	0.33	0.33
8	0.26	0.26	0.26
9	0.21	0.21	0.21
10	0.17	0.17	0.17
11	0.13	0.13	0.13
12	0.11	0.11	0.11
13	0.09	0.09	0.09
14	0.07	0.07	0.07
15	0.05	0.05	0.05
16	0.04	0.04	0.04
17	0.04	0.04	0.04
18	0.03	0.03	0.03
19	0.02	0.02	0.02
20	0.02	0.02	0.02

Return to Figure 2

Figure 2e: The real effects of nominal shocks across models (panel 22). Inflation under autocorrelated money growth rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	2.70	0.52	0.81
3	1.05	0.46	0.70
4	0.50	0.42	0.60
5	0.27	0.37	0.51
6	0.16	0.33	0.42
7	0.10	0.30	0.35
8	0.06	0.27	0.29
9	0.04	0.24	0.24
10	0.03	0.22	0.20
11	0.02	0.19	0.16
12	0.02	0.17	0.13
13	0.01	0.16	0.11
14	0.01	0.14	0.09
15	0.01	0.13	0.07
16	0.01	0.11	0.06
17	0.00	0.10	0.05
18	0.00	0.09	0.04
19	0.00	0.08	0.03
20	0.00	0.07	0.03

Return to Figure 2

Figure 2f: The real effects of nominal shocks across models (panel 23). Consumption under autocorrelated money growth rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	1.12	2.21	2.06
3	0.60	1.98	1.72
4	0.35	1.78	1.43
5	0.22	1.60	1.18
6	0.15	1.43	0.97
7	0.10	1.29	0.80
8	0.07	1.15	0.65
9	0.05	1.03	0.53
10	0.04	0.93	0.43
11	0.03	0.83	0.35
12	0.03	0.75	0.29
13	0.02	0.67	0.23
14	0.02	0.60	0.19
15	0.01	0.54	0.15
16	0.01	0.48	0.12
17	0.01	0.43	0.10
18	0.01	0.39	0.08
19	0.01	0.35	0.07
20	0.01	0.31	0.05

Return to Figure 2

Figure 2g: The real effects of nominal shocks across models (panel 31). Nominal interest rate under Taylor rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	-0.25	-0.25	-0.25
3	-0.12	-0.19	-0.18
4	-0.06	-0.15	-0.13
5	-0.04	-0.11	-0.09
6	-0.02	-0.09	-0.06
7	-0.02	-0.07	-0.05
8	-0.01	-0.05	-0.03
9	-0.01	-0.04	-0.02
10	-0.01	-0.03	-0.02
11	-0.00	-0.02	-0.01
12	-0.00	-0.02	-0.01
13	-0.00	-0.01	-0.01
14	-0.00	-0.01	-0.00
15	-0.00	-0.01	-0.00
16	-0.00	-0.01	-0.00
17	-0.00	-0.00	-0.00
18	-0.00	-0.00	-0.00
19	-0.00	-0.00	-0.00
20	-0.00	-0.00	-0.00

Return to Figure 2

Figure 2h: The real effects of nominal shocks across models (panel 32). Inflation under Taylor rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	1.45	0.06	0.15
3	0.45	0.04	0.11
4	0.17	0.03	0.08
5	0.07	0.03	0.06
6	0.03	0.02	0.05
7	0.02	0.02	0.03
8	0.01	0.01	0.02
9	0.00	0.01	0.02
10	0.00	0.01	0.01
11	0.00	0.01	0.01
12	0.00	0.00	0.01
13	-0.00	0.00	0.00
14	-0.00	0.00	0.00
15	-0.00	0.00	0.00
16	-0.00	0.00	0.00
17	-0.00	0.00	0.00
18	-0.00	0.00	0.00
19	-0.00	0.00	0.00
20	-0.00	0.00	0.00

Return to Figure 2

Figure 2i: The real effects of nominal shocks across models (panel 33). Consumption under Taylor rule

Month	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	0.66	0.63	0.64
3	0.31	0.48	0.46
4	0.17	0.37	0.33
5	0.10	0.29	0.24
6	0.06	0.22	0.17
7	0.04	0.17	0.12
8	0.03	0.13	0.08
9	0.02	0.10	0.06
10	0.02	0.08	0.04
11	0.01	0.06	0.03
12	0.01	0.05	0.02
13	0.01	0.03	0.01
14	0.01	0.03	0.01
15	0.01	0.02	0.01
16	0.00	0.02	0.00
17	0.00	0.01	0.00
18	0.00	0.01	0.00
19	0.00	0.01	0.00
20	0.00	0.01	0.00

Return to Figure 2

Figure 3a: Price dispersion across models (top left panel): price dispersion under money growth rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	0.2085	0.2971	0.3696
3	0.1345	0.5035	0.5865
4	0.0975	0.6413	0.6928
5	0.0754	0.7275	0.7235
6	0.0598	0.7754	0.7055
7	0.0481	0.7949	0.6586
8	0.0389	0.794	0.5963
9	0.0317	0.7784	0.528
10	0.0258	0.7527	0.4597
11	0.0211	0.7202	0.3949
12	0.0172	0.6835	0.3356
13	0.014	0.6445	0.2827
14	0.0113	0.6046	0.2365
15	0.009	0.5647	0.1966
16	0.0071	0.5256	0.1626
17	0.0055	0.4878	0.134
18	0.0041	0.4517	0.1099
19	0.0029	0.4173	0.0899

Return to Figure 3

Figure 3b: Price dispersion across models (top middle panel): labor under money growth rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	1.3286	2.506	2.4342
3	0.7337	2.4867	2.3071
4	0.4503	2.4214	2.1192
5	0.2978	2.325	1.9011
6	0.2078	2.2088	1.6745
7	0.1509	2.0809	1.4537
8	0.113	1.9475	1.2472
9	0.0865	1.813	1.0598
10	0.0675	1.6805	0.8934
11	0.0534	1.5523	0.7482
12	0.0427	1.4296	0.623
13	0.0344	1.3134	0.5164
14	0.0279	1.2043	0.4262
15	0.0227	1.1023	0.3506
16	0.0185	1.0076	0.2876
17	0.0151	0.9198	0.2353
18	0.0122	0.8389	0.1921
19	0.0098	0.7644	0.1565

Return to Figure 3

Figure 3c: Price dispersion across models (top right panel): consumption under money growth rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	1.12	2.2089	2.0645
3	0.5993	1.9831	1.7206
4	0.3527	1.7801	1.4264
5	0.2224	1.5975	1.1777
6	0.148	1.4334	0.969
7	0.1029	1.286	0.7951
8	0.074	1.1535	0.6509
9	0.0548	1.0346	0.5318
10	0.0416	0.9279	0.4337
11	0.0323	0.8321	0.3533
12	0.0255	0.7461	0.2874
13	0.0205	0.6689	0.2336
14	0.0167	0.5997	0.1897
15	0.0137	0.5376	0.154
16	0.0114	0.4819	0.1249
17	0.0096	0.432	0.1013
18	0.0081	0.3872	0.0821
19	0.0069	0.3471	0.0666
20	0.0059	0.3111	0.0539

Return to Figure 3

Figure 3d: Price dispersion across models (bottom left panel): price dispersion under Taylor rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	0.1089	0.0299	0.0691
3	0.0648	0.0471	0.1018
4	0.0451	0.0558	0.1114
5	0.0341	0.0589	0.1075
6	0.0266	0.0584	0.0967
7	0.0211	0.0557	0.0831
8	0.0169	0.0518	0.069
9	0.0136	0.0473	0.0559
10	0.011	0.0427	0.0444
11	0.009	0.0381	0.0346
12	0.0073	0.0338	0.0266
13	0.0059	0.0299	0.0202
14	0.0047	0.0263	0.0152
15	0.0037	0.0231	0.0112
16	0.0029	0.0202	0.0083
17	0.0022	0.0177	0.006
18	0.0017	0.0155	0.0043
19	0.0012	0.0136	0.0031

Return to Figure 3

Figure 3e: Price dispersion across models (bottom middle panel): labor under Taylor rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	0.6889	0.6329	0.6566
3	0.6064	0.5652	0.6523
4	0.3409	0.498	0.6032
5	0.2186	0.4345	0.5312
6	0.1527	0.3761	0.4513
7	0.1123	0.3237	0.3732
8	0.0852	0.2773	0.3019
9	0.066	0.2369	0.2399
10	0.052	0.2018	0.1877
11	0.0414	0.1718	0.145
12	0.0333	0.1461	0.1107
13	0.0269	0.1242	0.0836
14	0.0218	0.1056	0.0625
15	0.0176	0.09	0.0463
16	0.0142	0.0767	0.034
17	0.0114	0.0655	0.0248
18	0.009	0.0561	0.0179
19	0.007	0.0481	0.0128
20	0.0054	0.0413	0.009

Return to Figure 3

Figure 3f: Price dispersion across models (bottom right panel): consumption under Taylor rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	0.6636	0.6313	0.6419
3	0.3117	0.485	0.4613
4	0.1663	0.3726	0.33
5	0.0977	0.2862	0.2351
6	0.0619	0.2199	0.1669
7	0.0416	0.1689	0.118
8	0.0292	0.1297	0.0831
9	0.0213	0.0997	0.0584
10	0.016	0.0766	0.0409
11	0.0123	0.0588	0.0285
12	0.0097	0.0452	0.0199
13	0.0077	0.0347	0.0138
14	0.0063	0.0267	0.0095
15	0.0052	0.0205	0.0066
16	0.0043	0.0157	0.0046
17	0.0036	0.0121	0.0031
18	0.0031	0.0093	0.0022
19	0.0026	0.0071	0.0015
20	0.0022	0.0055	0.001

Return to Figure 3

Figure 4a: Inflation decomposition across models (top left panel). Intensive margin under money growth rule

Months	FMC	Calvo	SSDP
1	0	0	0
2	0.50	0.52	0.56
3	0.29	0.46	0.47
4	0.19	0.42	0.40
5	0.13	0.37	0.33
6	0.09	0.33	0.27
7	0.07	0.30	0.22
8	0.05	0.27	0.18
9	0.04	0.24	0.15
10	0.03	0.22	0.12
11	0.03	0.19	0.10
12	0.02	0.17	0.08
13	0.02	0.16	0.07
14	0.01	0.14	0.06
15	0.01	0.13	0.05
16	0.01	0.11	0.04
17	0.01	0.10	0.03
18	0.01	0.09	0.02
19	0.01	0.08	0.02

Return to Figure 4

Figure 4b: Inflation decomposition across models (top middle panel). Extensive margin under money growth rule

Months	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	-0.02	0.00	0.00
3	-0.01	0.00	0.00
4	-0.00	0.00	0.00
5	0.00	0.00	0.00
6	0.00	0.00	0.00
7	0.00	0.00	0.00
8	0.00	0.00	0.00
9	0.00	0.00	0.00
10	0.00	0.00	0.00
11	0.00	0.00	0.00
12	0.00	0.00	0.00
13	0.00	0.00	0.00
14	0.00	0.00	0.00
15	0.00	0.00	0.00
16	0.00	0.00	0.00
17	0.00	0.00	0.00
18	0.00	0.00	0.00
19	0.00	0.00	0.00
20	0.00	0.00	0.00

Return to Figure 4

Figure 4c: Inflation decomposition across models (top right panel). Selection effect under money growth rule

Months	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	2.22	0.00	0.24
3	0.78	0.00	0.23
4	0.32	0.00	0.20
5	0.14	0.00	0.18
6	0.06	0.00	0.15
7	0.02	0.00	0.13
8	0.01	0.00	0.11
9	-0.00	0.00	0.09
10	-0.01	0.00	0.07
11	-0.01	0.00	0.06
12	-0.01	0.00	0.05
13	-0.01	0.00	0.04
14	-0.01	0.00	0.03
15	-0.01	0.00	0.03
16	-0.00	0.00	0.02
17	-0.00	0.00	0.02
18	-0.00	0.00	0.01
19	-0.00	0.00	0.01

Return to Figure 4

Figure 4d: Inflation decomposition across models (bottom left panel). Intensive margin under Taylor rule

Months	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	0.26	0.06	0.10
3	0.13	0.04	0.07
4	0.08	0.03	0.05
5	0.05	0.03	0.04
6	0.04	0.02	0.03
7	0.03	0.02	0.02
8	0.02	0.01	0.01
9	0.02	0.01	0.01
10	0.01	0.01	0.01
11	0.01	0.01	0.01
12	0.01	0.00	0.00
13	0.01	0.00	0.00
14	0.01	0.00	0.00
15	0.00	0.00	0.00
16	0.00	0.00	0.00
17	0.00	0.00	0.00
18	0.00	0.00	0.00
19	0.00	0.00	0.00
20	0.00	0.00	0.00

Return to Figure 4

Figure 4e: Inflation decomposition across models (bottom middle panel). Extensive margin under Taylor rule

Months	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	-0.01	0.00	0.00
3	-0.00	0.00	0.00
4	-0.00	0.00	0.00
5	0.00	0.00	0.00
6	0.00	0.00	0.00
7	0.00	0.00	0.00
8	0.00	0.00	0.00
9	0.00	0.00	0.00
10	0.00	0.00	0.00
11	0.00	0.00	0.00
12	0.00	0.00	0.00
13	0.00	0.00	0.00
14	0.00	0.00	0.00
15	0.00	0.00	0.00
16	0.00	0.00	0.00
17	0.00	0.00	0.00
18	0.00	0.00	0.00
19	0.00	0.00	0.00
20	0.00	0.00	0.00

Return to Figure 4

Figure 4f: Inflation decomposition across models (bottom middle panel). Extensive margin under Taylor rule

Months	FMC	Calvo	SSDP
1	0.00	0.00	0.00
2	1.21	0.00	0.05
3	0.33	0.00	0.04
4	0.10	0.00	0.03
5	0.02	0.00	0.02
6	-0.00	0.00	0.02
7	-0.01	0.00	0.01
8	-0.01	0.00	0.01
9	-0.01	0.00	0.01
10	-0.01	0.00	0.00
11	-0.01	0.00	0.00
12	-0.01	0.00	0.00
13	-0.01	0.00	0.00
14	-0.01	0.00	0.00
15	-0.00	0.00	0.00
16	-0.00	0.00	0.00
17	-0.00	0.00	0.00
18	-0.00	0.00	0.00
19	-0.00	0.00	0.00
20	-0.00	0.00	0.00

Return to Figure 4

Figure 5a: Sectoral price responses to shocks identifed from model-generated data (panel 11). Estimated responses to sectoral shock: 8 firms per sector

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	1.04	1.01	0.96	0.89	0.92
2	1.10	1.04	0.96	0.84	0.89
3	1.12	1.05	0.95	0.81	0.86
4	1.12	1.05	0.95	0.81	0.86
5	1.13	1.05	0.95	0.82	0.86
6	1.13	1.05	0.95	0.82	0.87
7	1.13	1.05	0.95	0.82	0.87
8	1.12	1.05	0.95	0.82	0.86
9	1.12	1.05	0.95	0.82	0.86
10	1.12	1.05	0.95	0.82	0.86
11	1.12	1.05	0.95	0.82	0.86
12	1.12	1.05	0.95	0.82	0.86
13	1.13	1.05	0.95	0.82	0.86
14	1.13	1.05	0.95	0.82	0.86
15	1.13	1.05	0.95	0.82	0.86
16	1.13	1.05	0.95	0.82	0.86
17	1.13	1.05	0.95	0.82	0.86
18	1.13	1.05	0.95	0.82	0.86
19	1.13	1.05	0.95	0.82	0.86
20	1.13	1.05	0.95	0.82	0.86
21	1.13	1.05	0.95	0.82	0.86
22	1.13	1.05	0.95	0.82	0.86
23	1.13	1.05	0.95	0.82	0.86
24	1.13	1.05	0.95	0.82	0.86
25	1.13	1.05	0.95	0.82	0.86

Return to Figure 5

Figure 5b: Sectoral price responses to shocks identifed from model-generated data (panel 12). Estimated responses to aggregate shock: 8 firms per sector

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	0.26	0.19	0.08	-0.10	-0.03
2	0.39	0.28	0.14	-0.10	0.00
3	0.49	0.38	0.21	-0.06	0.05
4	0.56	0.43	0.25	-0.05	0.07
5	0.59	0.46	0.26	-0.06	0.08
6	0.60	0.47	0.26	-0.08	0.06
7	0.61	0.46	0.26	-0.09	0.04
8	0.64	0.48	0.25	-0.12	0.03
9	0.66	0.50	0.26	-0.12	0.03
10	0.66	0.50	0.26	-0.15	0.01
11	0.67	0.50	0.26	-0.16	0.01
12	0.67	0.49	0.25	-0.18	-0.01
13	0.70	0.52	0.24	-0.19	-0.02
14	0.71	0.52	0.25	-0.21	-0.04
15	0.71	0.53	0.25	-0.22	-0.04
16	0.71	0.52	0.24	-0.24	-0.03
17	0.73	0.53	0.24	-0.24	-0.04
18	0.73	0.53	0.24	-0.26	-0.07
19	0.74	0.53	0.23	-0.28	-0.07
20	0.74	0.53	0.23	-0.27	-0.07
21	0.73	0.52	0.22	-0.28	-0.08
22	0.75	0.54	0.23	-0.27	-0.08
23	0.76	0.55	0.24	-0.29	-0.10
24	0.76	0.54	0.23	-0.28	-0.08
25	0.75	0.55	0.23	-0.29	-0.07

Return to Figure 5

Figure 5c: Sectoral price responses to shocks identifed from model-generated data (panel 21). Estimated responses to sectoral shock: 64 firms per sector

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	1.00	0.97	0.92	0.86	0.88
2	1.04	0.98	0.90	0.79	0.83
3	1.06	1.00	0.90	0.77	0.82
4	1.06	0.99	0.90	0.77	0.82
5	1.07	1.00	0.90	0.78	0.82
6	1.07	1.00	0.90	0.78	0.82
7	1.07	1.00	0.90	0.78	0.82
8	1.06	1.00	0.90	0.78	0.82
9	1.06	0.99	0.90	0.78	0.82
10	1.06	1.00	0.90	0.78	0.82
11	1.06	1.00	0.90	0.78	0.82
12	1.06	0.99	0.90	0.78	0.82
13	1.06	0.99	0.90	0.78	0.82
14	1.06	0.99	0.90	0.78	0.82
15	1.06	0.99	0.90	0.78	0.82
16	1.06	0.99	0.90	0.78	0.82
17	1.06	0.99	0.90	0.78	0.82
18	1.06	0.99	0.90	0.78	0.82
19	1.06	0.99	0.90	0.78	0.82
20	1.06	0.99	0.90	0.78	0.82
21	1.06	0.99	0.90	0.78	0.82
22	1.06	0.99	0.90	0.78	0.82
23	1.06	0.99	0.90	0.78	0.82
24	1.06	0.99	0.90	0.78	0.82
25	1.06	0.99	0.90	0.78	0.82

Return to Figure 5

Figure 5d: Sectoral price responses to shocks identifed from model-generated data (panel 22). Estimated responses to aggregate shock: 64 firms per sector

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	0.37	0.32	0.24	0.12	0.16
2	0.64	0.57	0.46	0.27	0.34
3	0.81	0.72	0.59	0.39	0.47
4	0.93	0.83	0.69	0.45	0.55
5	0.97	0.87	0.72	0.47	0.57
6	0.99	0.88	0.73	0.47	0.57
7	1.02	0.91	0.73	0.46	0.57
8	1.02	0.91	0.74	0.45	0.56
9	1.03	0.91	0.73	0.44	0.55
10	1.04	0.92	0.74	0.42	0.55
11	1.05	0.94	0.75	0.44	0.56
12	1.06	0.93	0.74	0.41	0.55
13	1.05	0.92	0.73	0.40	0.53
14	1.07	0.93	0.72	0.39	0.52
15	1.07	0.93	0.73	0.38	0.53
16	1.08	0.93	0.71	0.37	0.51
17	1.09	0.95	0.73	0.38	0.52
18	1.10	0.95	0.72	0.37	0.51
19	1.11	0.95	0.72	0.36	0.51
20	1.11	0.96	0.72	0.35	0.51
21	1.12	0.96	0.72	0.34	0.50
22	1.12	0.96	0.72	0.33	0.50
23	1.12	0.96	0.72	0.33	0.49
24	1.13	0.96	0.72	0.34	0.49
25	1.13	0.97	0.72	0.33	0.49

Return to Figure 5

Figure 5e: Sectoral price responses to shocks identifed from model-generated data (panel 31). Estimated responses to sectoral shock: 512 firms per sector

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	0.75	0.72	0.69	0.64	0.66
2	0.79	0.76	0.69	0.61	0.64
3	0.80	0.75	0.68	0.58	0.62
4	0.81	0.75	0.68	0.59	0.62
5	0.81	0.75	0.68	0.59	0.63
6	0.81	0.75	0.68	0.59	0.63
7	0.81	0.75	0.69	0.59	0.63
8	0.81	0.75	0.68	0.59	0.63
9	0.81	0.75	0.69	0.59	0.63
10	0.81	0.75	0.68	0.59	0.63
11	0.81	0.75	0.68	0.59	0.63
12	0.81	0.75	0.68	0.59	0.63
13	0.81	0.75	0.68	0.59	0.63
14	0.81	0.75	0.68	0.59	0.63
15	0.81	0.75	0.69	0.59	0.63
16	0.81	0.75	0.69	0.59	0.63
17	0.81	0.75	0.68	0.59	0.63
18	0.81	0.75	0.68	0.59	0.63
19	0.81	0.75	0.68	0.59	0.63
20	0.81	0.75	0.68	0.59	0.63
21	0.81	0.75	0.68	0.59	0.63
22	0.81	0.75	0.69	0.59	0.63
23	0.81	0.75	0.68	0.59	0.63
24	0.81	0.75	0.68	0.59	0.63
25	0.81	0.75	0.68	0.59	0.63

Return to Figure 5

Figure 5f: Sectoral price responses to shocks identifed from model-generated data (panel 32). Estimated responses to aggregate shock: 512 firms per sector

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	0.60	0.56	0.50	0.41	0.44
2	1.06	1.00	0.90	0.76	0.82
3	1.30	1.23	1.13	0.97	1.03
4	1.38	1.31	1.20	1.03	1.10
5	1.42	1.35	1.24	1.05	1.12
6	1.43	1.35	1.23	1.04	1.12
7	1.45	1.36	1.24	1.04	1.12
8	1.46	1.37	1.24	1.04	1.12
9	1.46	1.37	1.24	1.03	1.11
10	1.46	1.37	1.23	1.01	1.10
11	1.47	1.37	1.24	1.01	1.10
12	1.47	1.37	1.23	1.00	1.10
13	1.49	1.38	1.23	1.01	1.09
14	1.49	1.39	1.23	0.99	1.09
15	1.49	1.39	1.23	0.98	1.08
16	1.49	1.39	1.23	0.98	1.08
17	1.50	1.39	1.23	0.98	1.08
18	1.50	1.39	1.23	0.97	1.07
19	1.51	1.40	1.23	0.98	1.08
20	1.53	1.40	1.24	0.97	1.08
21	1.53	1.42	1.24	0.96	1.07
22	1.53	1.41	1.24	0.96	1.07
23	1.54	1.41	1.24	0.95	1.07
24	1.53	1.42	1.23	0.95	1.06
25	1.54	1.42	1.25	0.95	1.06

Return to Figure 5

Figure 5g: Sectoral price responses to shocks identifed from model-generated data (panel 41). Estimated responses to sectoral shock: 512 firms per sector with Zipf weights

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	1.03	0.99	0.95	0.88	0.90
2	1.07	1.02	0.95	0.83	0.88
3	1.10	1.03	0.93	0.79	0.84
4	1.10	1.03	0.93	0.79	0.85
5	1.10	1.03	0.93	0.81	0.85
6	1.10	1.03	0.93	0.81	0.86
7	1.10	1.03	0.93	0.81	0.86
8	1.10	1.03	0.93	0.81	0.86
9	1.10	1.03	0.93	0.81	0.85
10	1.10	1.03	0.93	0.81	0.86
11	1.10	1.03	0.93	0.81	0.86
12	1.10	1.03	0.93	0.81	0.86
13	1.10	1.03	0.93	0.81	0.86
14	1.10	1.03	0.93	0.81	0.86
15	1.10	1.03	0.93	0.81	0.86
16	1.10	1.03	0.93	0.81	0.86
17	1.10	1.03	0.93	0.81	0.86
18	1.10	1.03	0.93	0.81	0.86
19	1.10	1.03	0.93	0.81	0.86
20	1.10	1.03	0.93	0.81	0.86
21	1.10	1.03	0.93	0.81	0.86
22	1.10	1.03	0.93	0.81	0.86
23	1.10	1.03	0.93	0.81	0.86
24	1.10	1.03	0.93	0.81	0.86
25	1.10	1.03	0.93	0.81	0.86

Return to Figure 5

Figure 5h: Sectoral price responses to shocks identifed from model-generated data (panel 42). Estimated responses to aggregate shock: 512 firms per sector with Zipf weights

Months	95th percentile	84th percentile	50th percentile	16th percentile	5th percentile
1	0.35	0.30	0.22	0.10	0.15
2	0.53	0.46	0.35	0.17	0.24
3	0.67	0.59	0.46	0.25	0.33
4	0.75	0.65	0.51	0.27	0.37
5	0.80	0.69	0.53	0.28	0.38
6	0.79	0.69	0.52	0.24	0.34
7	0.81	0.69	0.51	0.22	0.33
8	0.85	0.71	0.51	0.22	0.33
9	0.86	0.71	0.51	0.18	0.31
10	0.86	0.72	0.50	0.16	0.29
11	0.88	0.72	0.51	0.16	0.31
12	0.88	0.74	0.53	0.17	0.31
13	0.91	0.76	0.53	0.17	0.30
14	0.92	0.76	0.53	0.15	0.31
15	0.92	0.77	0.53	0.15	0.30
16	0.91	0.75	0.51	0.14	0.28
17	0.90	0.74	0.51	0.12	0.28
18	0.93	0.76	0.52	0.11	0.29
19	0.92	0.76	0.51	0.13	0.28
20	0.92	0.75	0.50	0.11	0.26
21	0.92	0.76	0.51	0.10	0.27
22	0.94	0.76	0.52	0.11	0.27
23	0.96	0.77	0.51	0.11	0.26
24	0.96	0.79	0.52	0.12	0.27
25	0.97	0.78	0.52	0.11	0.27

Return to Figure 5

Figure 6: Inflation variance contribution of sector-specific shocks identified from model-generated data. Estimated importance of sectoral shocks: contribution to sectoral inflation variance (%)

Firms per sector	Equal weights	Zipf weights
8	91.5	91.9
16	89.3	90.6
32	85.9	90.2
64	81.2	89.4
128	72.8	88.7
256	61.9	87.8
512	48.6	86.5

Return to Figure 6

^♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text

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Last update: April 10, 2012