| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16404 |
| DP16404 Consistent Evidence on Duration Dependence of Price Changes | |
| Fernando Alvarez; Katarína Borovičková; Robert Shimer | |
| 发表日期 | 2021-07-28 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We develop an estimator and tests of a discrete time mixed proportional hazard (MPH) model of duration with unobserved heterogeneity. We allow for competing risks, observable characteristics, and censoring, and we use linear GMM, making estimation and inference straightforward. With repeated spell data, our estimator is consistent and robust to the unknown shape of the frailty distribution. We apply our estimator to the duration of price spells in weekly store data from IRI. We find substantial unobserved heterogeneity, accounting for a large fraction of the decrease in the Kaplan-Meier hazard with elapsed duration. Still, we show that the estimated baseline hazard rate is decreasing and a homogeneous firm model can accurately capture the response of the economy to a monetary policy shock even if there is significant strategic complementarity in pricing. Using competing risks and spell-specific observable characteristics, we separately estimate the model for regular and temporary price changes and find that the MPH structure describes regular price changes better than temporary ones. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Baseline hazard Unobserved heterogeneity Mixed proportional hazard Gmm Sticky prices Nominal rigidities |
| URL | https://cepr.org/publications/dp16404 |
| 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/545365 |
| 推荐引用方式 GB/T 7714 | Fernando Alvarez,Katarína Borovičková,Robert Shimer. DP16404 Consistent Evidence on Duration Dependence of Price Changes. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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