Information-constrained state-dependent pricing

• 成果类型: Article; Proceedings Paper
• 署名作者: Woodford, Michael
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.06.014
• 发表日期: 2009
• 页码: S100-S124
• 关键词: rational inattention; Generalized Ss model; Adjustment hazard; Calvo model

摘要

A model is presented in which decisions about when to review a firm's existing price must be made on the basis of imprecise awareness of current market conditions. Imperfect information is endogenized using a variant of the theory of rational inattention proposed by Sims [1998. Stickiness. Carnegie-Rochester Conference Series on Public Policy 49, 317-356; 2003. Implications of rational inattention. journal of Monetary Economics 50, 665-690; 2006. Rational inattention: a research agenda. Unpublished, Princeton University]. The resulting class of models includes the standard (full-information) Ss model as a limiting case, but statistics on individual price changes from Micro data sets are better fit by a parameterization with substantial information costs. This can reconcile substantial real effects of nominal disturbances with evidence on the frequency of price changes. (C) 2009 Elsevier B.V. All rights reserved.