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

Steffen Ahrens and Matthias Hartmann ()

Economics Bulletin, 2015, vol. 35, issue 4, 2701-2709

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.

Keywords: State-dependent versus time-dependent pricing; Phillips curve; Functional coefficients; Conditional heteroscedasticity. (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2015-12-13
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Citations: View citations in EconPapers (3)

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