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A unified framework for using micro-data to compare dynamic time-dependent price-setting models

Dixon, Huw David 2012. A unified framework for using micro-data to compare dynamic time-dependent price-setting models. The B.E. Journal of Macroeconomics 12 (1) 10.1515/1935-1690.2220

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Abstract

This paper develops a statistical framework of steady-state identities which enable us to match the distributions of durations found in the micro-data to generalized Taylor and Calvo models of time-dependent pricing. We illustrate the approach with the UK micro CPI data for 1996-2009, and employ the pricing models in a simple macromodel. We find that the Generalized Taylor Economy generates a hump shaped inflation impulse response function, whilst the Generalized Calvo does not.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce
Uncontrolled Keywords: price-spell; steady state; hazard rate; Calvo; Taylor
Publisher: De Gruyter
ISSN: 1935-1690
Last Modified: 04 Jun 2017 04:24
URI: http://orca.cf.ac.uk/id/eprint/38222

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