| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27434 |
| 来源ID | Working Paper 27434 |
| The Macroeconomics of Sticky Prices with Generalized Hazard Functions | |
| Fernando E. Alvarez; Francesco Lippi; Aleksei Oskolkov | |
| 发表日期 | 2020-06-29 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We give a thorough analytic characterization of a large class of sticky-price models where the firm’s price setting behavior is described by a generalized hazard function. Such a function provides a tractable description of the firm’s price setting behavior and allows for a vast variety of empirical hazards to be fitted. This setup is microfounded by random menu costs as in Caballero and Engel (1993) or, alternatively, by information frictions as in Woodford (2009). We establish two main results. First, we show how to identify all the primitives of the model, including the distribution of the fundamental adjustment costs and the implied generalized hazard function, using the distribution of price changes or the distribution of spell durations. Second, we derive a sufficient statistic for the aggregate effect of a monetary shock: given an arbitrary generalized hazard function, the cumulative impulse response to a once-and-for-all monetary shock is given by the ratio of the kurtosis of the steady-state distribution of price changes over the frequency of price adjustment times six. We prove that Calvo’s model yields the upper bound and Golosov and Lucas’ model the lower bound on this measure within the class of random menu cost models. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w27434 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585107 |
| 推荐引用方式 GB/T 7714 | Fernando E. Alvarez,Francesco Lippi,Aleksei Oskolkov. The Macroeconomics of Sticky Prices with Generalized Hazard Functions. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27434.pdf（1212KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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