Boivin, Jean; Giannoni, Marc P.; Mihov, Ilian - National Bureau of Economic Research (NBER) - 2007
This paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor-augmented vector autoregression estimated on a large data set. On the basis of this estimation, we establish eight facts: (1) Macroeconomic shocks explain only about 15% of...