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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/39298
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| Title: | | Real and nominal rigidities in price setting: A bayesian analysis using aggregate data  |
| Authors: | | Yao, Fang |
| Issue Date: | | 2009 |
| Series/Report no.: | | SFB 649 discussion paper 2009,057 |
| Abstract: | | This paper uses the Bayesian approach to solve and estimate a New Keynesian model augmented by a generalized Phillips curve, in which the shape of the price reset hazards can be identi…ed using aggregate data. My empirical result shows that a constant hazard function is easily rejected by the data. The empirical hazard function for post-1983 periods in the U.S. is consistent with micro evidence obtained using data from similar periods. The hazard for pre-1983 periods, however, exhibits a remarkable increasing pattern, implying that pricing decisions are characterized by both time- and state-dependent aspects. Additionally, real rigidity plays an important role, but not as big a role as found in empirical studies using limited information methods. |
| Subjects: | | Real rigidity Nominal rigidity Hazard function Bayesian estimation |
| JEL: | | E12 E31 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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