A Unified Framework for Using Micro-Data to Compare Dynamic Time-Dependent Price-Setting Models

Huw Dixon

The B.E. Journal of Macroeconomics, 2012, vol. 12, issue 1, 45

Abstract: This paper develops a statistical framework of steady-state identities which enable us to match the distributions of durations found in the micro-data to generalized Taylor and Calvo models of time-dependent pricing. We illustrate the approach with the UK micro CPI data for 1996-2009, and employ the pricing models in a simple macromodel. We find that the Generalized Taylor Economy generates a hump shaped inflation impulse response function, whilst the Generalized Calvo does not.

Keywords: price-spell; steady state; hazard rate; Calvo; Taylor (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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DOI: 10.1515/1935-1690.2220

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