G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6206
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
URLhttps://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.
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