G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16404
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
URLhttps://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.
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