|
| |
| Steffen Ahrens and Matthias Hartmann |
| |
| ''Cross-sectional evidence on state-dependent versus time-dependent price setting'' |
| ( 2015, Vol. 35 No.4 ) |
| |
| |
| 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. |
| |
| |
| Keywords: State-dependent versus time-dependent pricing, Phillips curve, Functional coefficients, Conditional heteroscedasticity. |
JEL: C1 - Econometric and Statistical Methods: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) |
| |
| Manuscript Received : Feb 17 2015 | | Manuscript Accepted : Dec 13 2015 |
|
