Download or read book Information constrained State dependent Pricing written by Michael Woodford and published by . This book was released on 2008 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present a generalization of the standard (full-information) model of state-dependent pricing in which decisions about when to review a firm's existing price must be made on the basis of imprecise awareness of current market conditions. The imperfect information is endogenized using a variant of the theory of "rational inattention" proposed by Sims (1998, 2003, 2006). This results in a one-parameter family of models, indexed by the cost of information, which nests both the standard state-dependent pricing model and the Calvo model of price adjustment as limiting cases (corresponding to a zero information cost and an unboundedly large information cost respectively). For intermediate levels of the information cost, the model is equivalent to a "generalized Ss model" with a continuous "adjustment hazard" of the kind proposed by Caballero and Engel (1993a, 1993b), but provides an economic motivation for the hazard function and very specific predictions about its form. For high enough levels of the information cost, the Calvo model of price-setting is found to be a reasonable approximation to the exact equilibrium dynamics, except in the case of (infrequent) large shocks. When the model is calibrated to match the frequency and size distribution of price changes observed in microeconomic data sets, prices are found to be much less flexible than in a full-information state-dependent pricing model, and only about 20 percent more flexible than under a Calvo model with the same average frequency of price adjustment.
Download or read book Information constrained State dependent Pricing written by Michael Woodford and published by . This book was released on 2008 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: I present a generalization of the standard (full-information) model of state- dependent pricing in which decisions about when to review a firm's existing price must be made on the basis of imprecise awareness of current market conditions. The imperfect information is endogenized using a variant of the theory of "rational inattention" proposed by Sims (1998, 2003, 2006). This results in a one-parameter family of models, indexed by the cost of information, which nests both the standard state-dependent pricing model and the Calvo model of price adjustment as limiting cases (corresponding to a zero information cost and an unboundedly large information cost respectively). For intermediate levels of the information cost, the model is equivalent to a "generalized Ss model" with a continuous \adjustment hazard" of the kind proposed by Caballero and Engel (1993a, 1993b), but provides an economic motivation for the hazard function and very specific predictions about its form. For high enough levels of the information cost, the Calvo model of price-setting is found to be a reasonable approximation to the exact equilibrium dynamics, except in the case of (infrequent) large shocks. When the model is calibrated to match the frequency and size distribution of price changes observed in microeconomic data sets, prices are found to be much less flexible than in a full-information state-dependent pricing model, and only about 20 percent more flexible than under a Calvo model with the same average frequency of price adjustment.
Download or read book State Dependent Pricing and Business Cycle Asymmetries written by Michael B. Devereux and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book State dependent Pricing and the Dynamics of Money and Output written by Andrew Caplin and published by . This book was released on 1989 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book State dependent Pricing Under Infrequent Information written by Marco Antonio Bonomo and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Aggregation and Optimization with State dependent Pricing written by Andrew Caplin and published by . This book was released on 1992 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book State dependent Pricing and the Non neutrality of Money written by David Demery and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation of Adjustment Costs in a Model of State dependent Pricing written by Jonathan L. Willis and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation of Adjustment Costs in a Model of State dependent Pricing written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of Kansas City features the full text of the December 2000 working paper entitled "Estimation of Adjustment Costs in a Model of State-dependent Pricing," written by Jonathan Willis. The text is available in PDF format. This paper offers a framework for direct analysis of the underlying price adjustment costs in an industry.
Download or read book ESSAYS ON STATE DEPENDENT PRIC written by Wai-Yip Alex Ho and published by Open Dissertation Press. This book was released on 2017-01-27 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Essays on State Dependent Pricing Models" by Wai-yip, Alex, Ho, 何偉業, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled Essays on State Dependent Pricing Models submitted by Wai-Yip Alex HO for the degree of Master of Philosophy in Economics at The University of Hong Kong in August 2004 Abstract A dynamic general equilibrium model is developed to study the properties of state dependent pricing. In the rst section, we analyze the long-run properties of the model and nd that the eect of strategic complementarity in pricing decision between rms plays an important role in the model. When trend ination rate exceeds some critical level, such strategic complementarity results in existence of multiple equilibria in the model (2 equilibria). As trend ination increases, the dierence between the two equilibria gets wider. We then investigate the number of possible equilibrium by looking at the best response function of rms over certain values of trend ination rate. We nd that there exist one more unstable equilibrium. We nally access the long run dierence between the state dependent pricing model and the Calvo-pricing model and nd that the eect of trend ination on the model with state dependent pricing is much smaller than with Calvo-pricing. Under the same model specication and over the range of 1% to 6% trend ination rate, we nd that the eect of an increase in trend ination with state dependent pricing is smaller than with Calvo-pricing. In the next section, we explore the properties of the impulse responses of the state-dependent pricing model and compare it with a time-dependent pricing model. State-dependent pricing models show asymmetries in responding to dierent signs of a temporary money supply growth rate shock. However, real eects of such monetary shocks are not increasing proportionally to the size of the shock. Interestingly, we nd that if the size of the shock exceeds some critical level, the impulse response of the model to a positive shock converges to the impulse response to a negative shock. DOI: 10.5353/th_b3105994 Subjects: Pricing - Mathematical models
Download or read book State dependent Pricing written by Jonathan L. Willis and published by . This book was released on 2001 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book State dependent Pricing and the Dynamics of Business Cycles written by Michael Dotsey and published by . This book was released on 1997 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book State dependent Or Time dependent Pricing written by Peter J. Klenow and published by Bank of Canada. This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those price changes). The variance of inflation over time can be decomposed into contributions from each margin. The extensive margin figures importantly in many state-dependent pricing models, whereas the intensive margin is the sole source of inflation changes in staggered time-dependent pricing models. We use micro data collected by the U.S. Bureau of Labor Statistics to decompose the variance of consumer price inflation from 1988 through 2003. We find that around 95% of the variance of monthly inflation stems from fluctuations in the average size of price changes, i.e., the intensive margin. When we calibrate a prominent state-dependent pricing model to match this empirical variance decomposition, the model's shock responses are very close to those in time-dependent pricing models.
Download or read book State dependent pricing and optimal monetary policy written by Denny Lie and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Aggregation and Optimization with State Dependent Pricing written by Vladislav Damjanovic and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 non-stationary state of the model. In the stationary state, that correlation is initially rising.
Download or read book Estimation of Adjustment Cost in a Model of State dependent Pricing written by Jonathan L. Willis and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Implications of State dependent Pricing for Dynamic Macroeconomic Models written by Michael Dotsey and published by . This book was released on 2005 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt:
