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2010-04-01Buch DOI: 10.18452/4248
Aggregate Hazard Function in Price-Setting
dc.contributor.authorYao, Fang
dc.date.accessioned2017-06-16T00:07:15Z
dc.date.available2017-06-16T00:07:15Z
dc.date.created2010-05-27
dc.date.issued2010-04-01
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4900
dc.description.abstractThis paper presents an approach to identify aggregate price reset hazards from the joint dynamic behavior of inflation and macroeconomic aggregates. The identification is possible due to the fact that inflation is composed of current and past reset prices and that the composition depends on the price reset hazard function. The derivation of the generalized NKPC links those compostion effects to the hazard function, so that only aggregate data is needed to extract information about the price reset hazard function. The empirical hazard function is generally increasing with the age of prices, but with spikes at the 1st and 4th quarters. The implication of this finding for sticky price modeling is that the pricing decision is characterized by both time- and state-dependent aspects.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectSticky priceseng
dc.subjectBayesian estimationeng
dc.subjectAggregate hazard functioneng
dc.subject.ddc330 Wirtschaft
dc.titleAggregate Hazard Function in Price-Setting
dc.typebook
dc.subtitleA Bayesian Analysis Using Macro Data
dc.identifier.urnurn:nbn:de:kobv:11-100111337
dc.identifier.doihttp://dx.doi.org/10.18452/4248
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages29
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue20
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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