STRATEGIC INTERACTION AMONG HETEROGENEOUS PRICE-SETTERS IN AN ESTIMATED DSGE MODEL

• 成果类型: Article
• 署名作者: Coibion, Olivier; Gorodnichenko, Yuriy
• 署名单位: William & Mary; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00102
• 发表日期: 2011-08
• 页码: 920-940
• 关键词: monetary-policy; sticky-information; trend inflation

摘要

We consider a dynamic stochastic general equilibrium model (DSGE) in which firms follow one of four price-setting regimes: sticky prices, sticky information, rule of thumb, or full-information flexible prices. The parameters of the model, including the fraction of each type of firm, are estimated by matching the moments of the observed variables of the model to those found in the data. We find that sticky price firms and sticky information firms jointly account for over 80% of firms in the model. We compare the performance of our hybrid model to pure sticky price and sticky information models along various dimensions, including monetary policy implications.