In a broad class of sticky-price models the non-neutrality of nominal shocks is captured by a simple sufficient statistic: the ratio of the kurtosis of the price change distribution over the frequency of price changes. We test the sufficient statistic proposition using data for a large sample of products representative of the French economy. We first extend the theory to allow for empirically relevant monetary shocks with a transitory predictable component. We then use the micro data to measure kurtosis and frequency for about 120 PPI industries and 220 CPI categories. We use a Factor Augmented VAR to measure the industries response to monetary shocks, under alternative identification schemes. The estimated degree of nonneutrality correlates with the kurtosis and the frequency consistently with the predictions of the theory. Several robustness checks are discussed.