全球智库信息集成服务系统(G2TT): DP6206 Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP6206
	DP6206 Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
	Carlo A. Favero; Luca Sala; Linlin Niu
发表日期	2007-03-23
出版年	2007
语种	英语
摘要	The New Keynesian Phillips Curve is at the centre of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force to observed inflation dynamics. This is not always the case in typical estimations. In this paper, we show how heterogeneity in pricing behaviour is relevant to both questions. We detail the conditions under which imposing homogeneity results in overestimating a backward-looking component in (aggregate) inflation, and underestimating the importance of (aggregate) marginal costs for (aggregate) inflation. We provide intuition for the direction of these biases, and verify them in French data with information on prices and marginal costs at the industry level. We show that the apparent discrepancy in the estimated duration of nominal rigidities, as implied from aggregate or microeconomic data, can be fully attributable to a heterogeneity bias.
主题	International Macroeconomics
关键词	Heterogeneity Inflation persistence Marginal costs New keynesian phillips curve Nominal rigidities
URL	https://cepr.org/publications/dp6206
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/535041
推荐引用方式 GB/T 7714	Carlo A. Favero,Luca Sala,Linlin Niu. DP6206 Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set. 2007.