Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39298
Authors: 
Yao, Fang
Year of Publication: 
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

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