A Unified Framework for Using Micro-Data to Compare Dynamic Time-Dependent Price-Setting Models

✍ Scribed by Dixon, Huw

• Book ID: 111976069
• Publisher: The Berkeley Electronic Press
• Year: 2012
• Tongue: English
• Weight: 714 KB
• Volume: 12
• Category: Article
• ISSN: 2194-6116
• DOI: 10.1515/1935-1690.2220

✦ Synopsis

This paper develops a statistical framework of steady-state identities which enable us to match the distributions of durations found in the micro-data to generalized Taylor and Calvo models of time-dependent pricing. We illustrate the approach with the UK micro CPI data for 1996-2009, and employ the pricing models in a simple macromodel. We find that the Generalized Taylor Economy generates a hump shaped inflation impulse response function, whilst the Generalized Calvo does not.