Identifying the influences of nominal and real rigidities in aggregate price-setting behavior

Journal of Monetary Economics

Volumn 54, Issue 8, 2007, Pages 2439-2466

  Coenen, Günter ^a   Levin, Andrew T ^b   Christoffel, Kai ^a  

^a EUROPEAN CENTRAL BANK   (Germany)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

Inflation persistence; Nominal rigidity; Overlapping contracts; Real rigidity; Simulation based indirect inference

Indexed keywords

EID: 34547707640     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2006.12.017     Document Type: Article

References (66)

1. Altig, D., Christiano, L., Eichenbaum, M., Lindé, J., 2004. An estimated model of the U.S. business cycle. Manuscript, Northwestern University.
2. Anderson G., and Moore G. A linear algebraic procedure for solving linear perfect foresight models. Economics Letters 17 (1985) 247-252
3. Apel, M., Friberg, R., Hallsten, K., 2001. Micro foundations of price adjustment: survey evidence from Swedish firms. Sveriges Riksbank Working Paper No. 128, Sveriges Riksbank.
4. Ascari, G., 2003. Staggered prices and trend inflation: some nuisances. Bank of Finland Discussion Papers 27/2003, Bank of Finland.
5. Aucremanne, L., Dhyne, E., 2004. How frequently do prices change? First results on the micro data underlying the Belgian CPI. ECB Working Paper No. 332, European Central Bank.
6. Ball L., and Romer D. Real rigidities and the non-neutrality of money. Review of Economic Studies 57 (1990) 183-203
7. Bentolila S., and Saint-Paul G. Explaining movements in the labor share. Contributions to Macroeconomics 3 (2003) 1-31
8. Bergin P., and Feenstra R. Staggered price setting and endogenous persistence. Journal of Monetary Economics 45 (2000) 657-680
9. Bils, M., Klenow, P., 2004. Some evidence on the importance of sticky prices. Journal of Political Economy 112, 947-985.
10. Blanchard O., and Giavazzi F. Macroeconomic effects of regulation and deregulation in goods and labor markets. Quarterly Journal of Economics 118 (2003) 879-907
11. Blinder A., Canetti E., Lebow D., and Rudd J. Asking about Prices: A New Approach to Understand Price Stickiness (1998), Russell Sage Foundation, New York
12. Calvo G. Staggered prices in a utility-maximizing framework. Journal of Monetary Economics 12 (1983) 383-398
13. Caplin A., and Leahy J. Aggregation and optimization with state-dependent pricing. Econometrica 65 (1997) 601-625
14. Chari V., Kehoe P., and McGrattan E. Sticky price models of the business cycle: can the contract multiplier solve the persistence problem?. Econometrica 68 (2000) 1151-1180
15. Chevalier J., Kashyap A., and Rossi P. Why don't prices rise during periods of peak demand? Evidence from scanner data. American Economic Review 93 (2003) 15-37
16. Christiano, L., 2004. Firm-specific capital and aggregate inflation dynamics in Woodford's model. Manuscript, Northwestern University.
17. Christiano L., Eichenbaum M., and Evans C. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (2005) 1-45
18. Clarida R., Galí J., and Gertler M. The science of monetary policy: a New Keynesian perspective. Journal of Economic Literature 37 (1999) 1661-1707
19. Coenen G. Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models. Empirical Economics 30 (2005) 65-75
20. Coenen, G., Levin, A., 2004. Identifying the influences of nominal and real rigidities in aggregate price-setting behavior. ECB Working Paper No. 418, European Central Bank.
21. Coenen G., and Wieland V. A small estimated euro area model with rational expectations and nominal rigidities. European Economic Review 49 (2005) 1081-1104
22. Cogley, T., Sbordone, A., 2004. A search for a structural Phillips curve. Manuscript, Federal Reserve Bank of New York.
23. de Walque, G., Smets, F., Wouters, R., 2004. Price setting in general equilibrium: alternative specifications. Manuscript, European Central Bank.
24. Dias, M., Dias, D., Neves, P., 2004. Stylised features of price setting behaviour in Portugal: 1992-2001. ECB Working Paper No. 331, European Central Bank.
25. Dixon, H., Kara, E., 2006. How to compare Taylor and Calvo contracts: a comment on Michael Kiley. Journal of Money, Credit and Banking 38, 1119-1126.
26. Dotsey, M., King, R., 2004. Implications of state-dependent pricing for dynamic macroeconomic models. Manuscript, Boston University.
27. Dotsey M., King R., and Wolman A. State-dependent pricing and the general equilibrium dynamics of money and output. Quarterly Journal of Economics 114 (1999) 655-690
28. Eichenbaum, M., Fisher, J., 2004. Evaluating the Calvo model of sticky prices. Manuscript, Northwestern University.
29. Erceg C., and Levin A. Imperfect credibility and inflation persistence. Journal of Monetary Economics 50 (2003) 915-944
30. Erceg C., Henderson D., and Levin A. Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46 (2000) 281-313
31. Fabiani, S., Gattulli, A., Sabbatini, R., 2004. The pricing behaviour of italian firms: new survey evidence on price stickiness. ECB Working Paper No. 331, European Central Bank.
32. Fuhrer J., and Moore G. Inflation persistence. Quarterly Journal of Economics 110 (1995) 127-159
33. Galí J., and Gertler M. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44 (1999) 195-222
34. Galí J., Gertler M., and López-Salido D. European inflation dynamics. European Economic Review 43 (2001) 1237-1270
35. Gerberding, C., Seitz, F., Worms, A., 2004. How the Bundesbank really conducted monetary policy: an analysis based on real-time data. Manuscript, Deutsche Bundesbank.
36. Golosov, M., Lucas, R., 2003. Menu costs and Phillips curves. NBER Working Paper No. 10187.
37. Goodfriend M., and King R. The new neoclassic synthesis and the role of monetary policy. In: Bernanke B., and Rotemberg J. (Eds). NBER Macroeconomics Annual 1997 (1997), MIT Press, Cambridge, MA
38. Gouriéroux, C., Monfort, A., 1996. Simulation-Based Inference Methods. Oxford University Press, Oxford.
39. Gouriéroux, C., Monfort, A., Renault, E., 1993. Indirect inference. Journal of Applied Econometrics 8, S85-S118.
40. Guerrieri, L., 2002. Persistent issues in inflation persistence. Manuscript, Board of Governors of the Federal Reserve System.
41. Hall S., Walsh M., and Yates T. Are UK Companies' prices sticky?. Oxford Economic Papers 52 (2000) 425-446
42. Kimball M. The quantitative analytics of the basic neomonetarist model. Journal of Money, Credit and Banking 27 (1995) 1241-1277
43. Klenow, P., Kryvtsov, O., 2004. State-dependent or time-dependent pricing: does it matter for recent U.S. inflation? Manuscript, Stanford University.
44. Levin, A., Piger, J., 2004. Is inflation persistence intrinsic in industrial economies? ECB Working Paper No. 334, European Central Bank.
45. Levin A., Onatski A., Williams J., and Williams N. Monetary policy under uncertainty in micro-founded macroeconometric models. In: Gertler M., and Rogoff K. (Eds). NBER Macroeconomics Annual 2005 (2005), MIT Press, Cambridge, MA
46. Lindé, J., 2001. Estimating New-Keynesian Phillips curves: a full information maximum likelihood approach. Sveriges Riksbank Working Paper Series No. 129, Sveriges Riksbank.
47. Mash, R., 2003. Optimising microfoundations for inflation persistence. Oxford University Department of Economics Discussion Paper No. 174, Oxford University.
48. McCallum B. Analysis of the monetary transmission mechanism: methodological issues. The Monetary Transmission Process: Recent Developments and Lessons for Europe (2001), Palgrave, Basingstoke
49. Ng S., and Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69 (2001) 1519-1554
50. Onatski, A., Williams, N., 2004. Empirical and policy performance of a forward-looking monetary model. Manuscript, Princeton University.
51. Rotemberg J. Prices, output and hours: an empirical analysis based on a sticky price model. Journal of Monetary Economics 37 (1996) 505-533
52. Rotemberg J., and Woodford M. An optimization-based econometric framework for the evaluation of monetary policy. In: Bernanke B., and Rotemberg J. (Eds). NBER Macroeconomics Annual 1997 (1997), MIT Press, Cambridge, MA
53. Sbordone A. Prices and unit labor costs: a new test of price stickiness. Journal of Monetary Economics 49 (2002) 265-292
54. Schorfheide F. Loss-function-based evaluation of DSGE models. Journal of Applied Econometrics 15 (2000) 645-670
55. Schmid, P., 1999. Monetary targeting in practice: the German experience. CFS Working Paper No. 1999-03, Center for Financial Studies.
56. Sheedy, K., 2005. Structural inflation persistence. Manuscript, Cambridge University.
57. Smets F., and Wouters R. An estimated dynamic stochastic general equilibrium model of the euro area. Journal of the European Economic Association 1 (2003) 1123-1175
58. Smith, A., 1993. Estimating nonlinear time-series models using simulated vector autoregressions. Journal of Applied Econometrics 8, S63-S84.
59. Sveen, T., Weinke, L., 2003. Inflation and output dynamics with staggered price setting and capital accumulation. Manuscript, Universitat Pompeu Fabra.
60. Taylor J. Aggregate dynamics and staggered contracts. Journal of Political Economy 88 (1980) 1-22
61. Taylor J. Macroeconomic Policy in the World Economy: From Econometric Design to Practical Operation (1993), WW Norton, New York
62. Taylor J. Staggered price and wage setting in macroeconomics. In: Taylor J., and Woodford M. (Eds). Handbook of Macroeconomics vol. 1 (1999), Elsevier, North-Holland
63. Woglom G. Underemployment equilibrium with rational expectations. Quarterly Journal of Economics 97 (1982) 89-107
64. Woodford M. Interest and Prices: Foundations of a Theory of Monetary Policy (2003), Princeton University Press, Princeton, NJ
65. Woodford, M., 2004. Inflation and output dynamics with firm-specific investment. Manuscript, Princeton University.
66. Yun T. Nominal price rigidity, money supply endogeneity, and business cycles. Journal of Monetary Economics 37 (1996) 345-370