Selection and monetary non-neutrality in time-dependent pricing models

• 成果类型: Article
• 署名作者: Carvalho, Carlos; Schwartzman, Felipe
• 署名单位: Pontificia Universidade Catolica do Rio de Janeiro; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.09.002
• 发表日期: 2015
• 页码: 141-156
• 关键词: Time-dependent pricing; Selection effect; Monetary non-neutrality; General hazard function; Heterogeneity

摘要

For a given frequency of price adjustment, monetary non-neutrality is smaller if older prices are disproportionately more likely to change. Selection for the age of prices provides a complete characterization of price-setting frictions in time-dependent models. Selection for older prices is weaker and non-neutralities are larger if the hazard function of price adjustment is less strongly increasing. Selection is weaker if there is heterogeneity in price stickiness. Finally, selection is weaker if durations of price spells are more variable. In particular, the Taylor (1979) model exhibits maximal selection for older prices, whereas the Calvo (1983) model exhibits no selection. (C) 2015 Elsevier B.V. All rights reserved.