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Cross-sectional evidence on state-dependent versus time-dependent price setting

Author

Listed:
  • Steffen Ahrens

    (Technische Universität Berlin)

  • Matthias Hartmann

    (Ruprecht-Karls-Universität Heidelberg)

Abstract

We empirically analyze aggregate price setting by means of a nonparametric representation of the structural New Keynesian Phillips curve derived from Calvo (1983) pricing for a large cross-section of 14 industrialized economies. State-dependence of the Calvo parameter is tested in a functional-coefficient regression framework. We reject state-invariant pricing. Moreover, problems reported in the extant literature of insignificant and implausible estimates of the Phillips-curve relation are mitigated in the state-dependent specification.

Suggested Citation

  • Steffen Ahrens & Matthias Hartmann, 2015. "Cross-sectional evidence on state-dependent versus time-dependent price setting," Economics Bulletin, AccessEcon, vol. 35(4), pages 2701-2709.
  • Handle: RePEc:ebl:ecbull:eb-15-00037
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    References listed on IDEAS

    as
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    5. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2006. "Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1707-1727.
    6. Canova, Fabio, 2007. "G-7 Inflation Forecasts: Random Walk, Phillips Curve Or What Else?," Macroeconomic Dynamics, Cambridge University Press, vol. 11(1), pages 1-30, February.
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    Cited by:

    1. Ahrens, Steffen & Lustenhouwer, Joep & Tettamanzi, Michele, 2017. "The Stabilizing Role of Forward Guidance: A Macro Experiment," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168063, Verein für Socialpolitik / German Economic Association.
    2. Ahrens, Steffen & Lustenhouwer, Joep & Tettamanzi, Michele, 2018. "The stabilizing role of forward guidance: A macro experiment," BERG Working Paper Series 137, Bamberg University, Bamberg Economic Research Group.

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    More about this item

    Keywords

    State-dependent versus time-dependent pricing; Phillips curve; Functional coefficients; Conditional heteroscedasticity.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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