کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5057943 1476614 2016 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is Rotemberg pricing justified by macro data?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Is Rotemberg pricing justified by macro data?
چکیده انگلیسی


- In money macro, Rotemberg and Calvo pricing are two popular forms of sticky prices.
- Rotemberg pricing has grown in popularity due to its computational advantage.
- Rotemberg pricing better fits U.S. data due to differences at the zero lower bound.
- Our results indicate the recent shift to Rotemberg pricing is justified by the data.

Structural models used to study monetary policy often include sticky prices. Calvo pricing is more common but Rotemberg pricing has become popular due to its computational advantage. To determine whether the data supports that change, we estimate a nonlinear New Keynesian model with a zero lower bound (ZLB) constraint and each type of sticky prices. The models produce similar parameter estimates and the filtered shocks are nearly identical when the Fed was not constrained, but the Rotemberg model has a higher marginal data density and it endogenously generates more volatility at the ZLB, which helps explain data from 2008-2011.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 149, December 2016, Pages 44-48
نویسندگان
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