Aggregation and optimization with state-dependent pricing: A comment

• 成果类型: Article
• 署名作者: Damjanovic, V; Nolan, C
• 署名单位: University of St Andrews
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2006.00672.x
• 发表日期: 2006
• 页码: 565-573
• 关键词: output

摘要

A key argument in Caplin and Leahy (1997) states that the correlation between monetary shocks and output is falling in the variance of the money supply. We demonstrate that this conclusion depends on solving for the correlation in the nonstationary state of the model. In the stationary state, that correlation is initially rising.