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http://hdl.handle.net/10419/60529
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| DC Field | | Value | | Language |
| dc.contributor.author | | Sbordone, Argia M. | | en_US |
| dc.date.accessioned | | 2012-08-17T14:24:37Z | | - |
| dc.date.available | | 2012-08-17T14:24:37Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60529 | | - |
| dc.description.abstract | | This paper analyzes the dynamics of prices and wages using a limited information approach to estimation. I estimate a two-equation model for the determination of prices and wages derived from an optimization-based dynamic model in which both goods and labor markets are monopolistically competitive; prices and wages can be reoptimized only at random intervals; and, when prices and wages are not reoptimized, they can be partially adjusted to previous-period aggregate inflation. The estimation procedure is a two-step minimum distance estimation that exploits the restrictions imposed by the model on a time-series representation of the data. In the first step, I estimate an unrestricted autoregressive representation of the variables of interest. In the second, I express the model solution as a constrained autoregressive representation of the data and define the distance between unconstrained and constrained representations as a function of the structural parameters that characterize the joint dynamics of inflation and labor share. This function summarizes the cross-equation restrictions between the model and the time-series representations of the data. I then estimate the parameters of interest by minimizing a quadratic function of that distance. I find that the estimated dynamics of prices and wages track actual dynamics quite well and that the estimated parameters are consistent with the observed length of nominal contracts. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 256 | | en_US |
| dc.subject.jel | | E32 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | wage and price dynamics, nominal rigidities, minimum distance estimation | | en_US |
| dc.subject.stw | | Lohn | | en_US |
| dc.subject.stw | | Preis | | en_US |
| dc.subject.stw | | Inflation | | en_US |
| dc.subject.stw | | Lohnrigidität | | en_US |
| dc.subject.stw | | Preisrigidität | | en_US |
| dc.subject.stw | | Monopolistischer Wettbewerb | | en_US |
| dc.subject.stw | | Lohnindexierung | | en_US |
| dc.subject.stw | | VAR-Modell | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | US wage and price dynamics: A limited information approach | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 519344561 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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