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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. |
条目包含的文件 | 条目无相关文件。 |
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