State dependent pricing and business cycle asymmetries

• 成果类型: Article
• 署名作者: Devereux, Michael B.; Siu, Henry E.
• 署名单位: University of British Columbia; University of British Columbia; Centre for Economic Policy Research - UK
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2007.00426.x
• 发表日期: 2007
• 页码: 281-310
• 关键词: adjustment; DYNAMICS; prices; money; rigidities; COSTS

摘要

We present a tractable, dynamic general equilibrium model of state-dependent pricing and study the response of output and prices to monetary policy shocks. We find important nonlinearities in these responses. For empirically relevant shocks, this generates substantially different predictions from time-dependent pricing. We also find a distinct asymmetry with state-dependent pricing: Prices respond more to positive shocks than they do to negative shocks. This is due to a strategic linkage between firms in the incentive for price adjustment. Our state-dependent model can account for business cycle asymmetries in output of the magnitude found in empirical studies.