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https://hdl.handle.net/10419/60529
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DC Field | Value | Language |
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dc.contributor.author | Sbordone, Argia M. | en |
dc.date.accessioned | 2012-08-17T14:24:37Z | - |
dc.date.available | 2012-08-17T14:24:37Z | - |
dc.date.issued | 2006 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFederal Reserve Bank of New York |cNew York, NY | en |
dc.relation.ispartofseries | |aStaff Report |x256 | en |
dc.subject.jel | E32 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | C52 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | wage and price dynamics, nominal rigidities, minimum distance estimation | en |
dc.subject.stw | Lohn | en |
dc.subject.stw | Preis | en |
dc.subject.stw | Inflation | en |
dc.subject.stw | Lohnrigidität | en |
dc.subject.stw | Preisrigidität | en |
dc.subject.stw | Monopolistischer Wettbewerb | en |
dc.subject.stw | Lohnindexierung | en |
dc.subject.stw | VAR-Modell | en |
dc.subject.stw | USA | en |
dc.title | US wage and price dynamics: A limited information approach | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 519344561 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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