A Quantitative Comparison of Sticky-Price and Sticky-Information Models of Price Setting
A Quantitative Comparison of Sticky-Price and Sticky-Information Models of Price Setting
复制标题
粘性价格与粘性信息定价模型的定量比较
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发表时间：
2006
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通讯作者：
Michael T. Kiley
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作者：
Michael T. Kiley
我通过最大似然技术估计了美国价格设定的粘性价格和粘性信息模型，得出了几个结论。首先，粘性价格模型是最合适的，一旦混合行为被允许，它就能捕捉到通货膨胀的动态以及简化形式的方程。其次，在粘性价格模型中，混合行为的重要性可能与某些信息缺陷（如粘性信息）作为名义价格刚性的补充所起的作用是一致的。最后，本文对混合粘性价格模型进行统计评价，总结了不同模型的相对拟合，得出了较好的结果，这与现有文献对混合粘性价格模型既支持又否定的观点是一致的，因为这些文献在评价混合粘性价格模型时在很大程度上忽略了拟合。以前的许多研究都集中在辅助问题上，比如与某些参数或格兰杰因果关系测试相关的标准误差，这些测试可能无法提供关于粘性价格模型的太多信息。
I estimate sticky-price and sticky-information models of price setting for the United States via maximum-likelihood techniques, reaching several conclusions. First, the sticky-price model fits best, and captures inflation dynamics as well as reduced-form equations once hybrid-behavior is allowed. Second, the importance of hybrid behavior in sticky-price models is potentially consistent with a role for some information imperfections, such as sticky information, as a complement to nominal price rigidities. Finally, the favorable results herein for the hybrid sticky-price model when evaluated by statistics that summarize the relative fit of different models is consistent with the existing literature that is both supportive and dismissive of such models, as this literature has largely ignored fit in evaluating such models. Many previous studies have focused on ancillary issues, such as the standard errors associated with certain parameters or Granger-causality tests that may not provide much information about sticky-price models.