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2009 | nr 1 (22) | 125--139
Tytuł artykułu

Sticky Prices Versus Sticky Information : an Application for Romania

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
In this paper I compare New Keynesian models under different assumptions regarding the Phillips curves. I use three specifications of the Phillips curves, namely sticky prices, sticky prices with indexation and sticky information specification. I estimate the three models using Bayesian techniques. The degree of price stickiness is moderate, as is the degree of sticky information. The estimates of the Taylor rule are stable across the three models. The Bayesian comparison of the models favours the sticky information model. The results imply that the central bank in Romania should pay attention to the way the agents' expectations are formed. (original abstract)
Rocznik
Numer
Strony
125--139
Opis fizyczny
Twórcy
  • Romanian Academy
Bibliografia
  • Arslan, M. M., Derivation and Estimation of a Phillips Curve with Sticky Prices and Sticky Information, mimeo, 2007.
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  • Caraiani, P., An Estimated New Keynesian Model for Romania, "Romanian Journal of Economic Forecasting", 8 (4), pp. 114-123, 2007b.
  • Caraiani, P., An Analysis of Domestic and External Shocks on Romanian Economy Using a DSGE Model, "Romanian Journal of Economic Forecasting", 9 (3), pp. 100-114, 2008.
  • Carroll, C., Macroeconomic Expectations of Households and Professional Forecasters, "Quarterly Journal of Economics" 118 (1), pp. 269-298, 2003.
  • Copaciu, M., Neagu, F., Braun-Erdei, H., Survey Evidence on Price Setting Patterns of Romanian Firms, National Bank of Romania, 2005.
  • Collard, F., Dellas, H., Sticky Prices versus Sticky Information A Horse Race, mimeo, 2004.
  • Clarida, R., Gali, J., Gertler, M., The Science of Monetary Policy: A New Keynesian Perspective, "Journal of Economic Literature" 37(4), pp. 1661-1707, 1999.
  • Di Bartolomeo, G., van Aarle, B., Merlevede, B., Plasmans, J., (2004). Monetary Policy Regimes with Hybrid Output Gaps and Inflation Rates with Application to EU-accession Countries, in: Kwantitatief bekeken - Liber Amicorum Prof. dr. Robert Van Straelen (collected works in honor of Prof. dr. R. van Straelen) edited by S. Késenne, Garant, Louvain.
  • Dopke, J., Dovern, J., Fritsche, L., and Slacalek, J., Sticky Information Phillips Curves: European Evidence, "Discussion Papers 615", German Institute for Economic Research, Berlin, 2006.
  • Gali, J., Gertler, M., (1999). Inflation Dynamics: A Structural Econometric Approach, "Journal of Monetary Economics" 44 (2), pp. 195-222.
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  • Keen, B., Sticky Price and Sticky Information Price Setting Models: What is the Difference?, mimeo, 2005.
  • Kiley, M. T., A Quantitative Comparison of Sticky-Price and Sticky-Information Models of Price Setting, "Journal of Money, Credit and Banking", 39, pp. 101-125, 2007.
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  • Jeffreys, H., Theory of Probability. Oxford University Press, 1961.
  • Mankiw, N. G., Reis, R., Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve, "Quarterly Journal of Economics" 117 (4), pp. 1295-1328, 2002.
  • Molinari, B., The Role of Sticky Information on Inflation Dynamics: Estimates and Findings. Universitat Pompeu Fabra, mimeo, 2006.
  • Paustian, M., Pytlarczyk, E., Sticky Contracts or Sticky Information? Evidence from an Estimated Euro Area DSGE Model, mimeo, 2006.
  • Pelinescu, E., Ţurlea, G., Modelling Inflation in Romania, "Romanian Journal of Economic Forecasting" 5(4), pp. 68-86, 2004.
  • Rabanal, P., Rubio-Ramírez, J. F., Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach, "Journal of Monetary Economics" 52 (6), pp. 1151-1166, 2005.
  • Rabanal, P., Rubio-Ramirez, J. F., Comparing New Keynesians Models in the Euro Area: A Bayesian Approach, Federal Reserve Bank of Atlanta Working Paper 2003-30.
  • Trabandt, M., Sticky Information vs. Sticky Prices: A Horse Race in a DSGE Framework, Working Paper. Humboldt University, Berlin, 2006.
  • Smets, F., Wouters, R., An Estimated Stochastic Dynamic General Equilibrium Model for the Euro Area, "Journal of the European Economic Association" 1 (5), pp. 1123-1175, 2003.
  • Walsh, C., (2003). Monetary Theory and Policy. The MIT Press, Cambridge, Massachusetts, London, England, 2003.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000168795701

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