Sticky-price models of the business cycle: Specification and stability

• 成果类型: Article
• 署名作者: Ireland, PN
• 署名单位: Boston College; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(00)00047-7
• 发表日期: 2001
• 页码: 3-18
• 关键词: sticky prices; sticky inflation; parameter stability

摘要

This paper focuses on the specification and stability of a dynamic, stochastic, general equilibrium model of the American business cycle with sticky prices. Maximum likelihood estimates reveal that the data prefer a version of the model in which adjustment costs apply to the price level but not to the inflation rate. Formal hypothesis tests detect instability in the estimated parameters, particularly in estimates of the representative household's discount factor. Evidently, more detailed descriptions of the economy are needed to explain movements in interest rates before and after 1979. (C) 2001 Elsevier Science B.V. All rights reserved.