Paralyzed by Fear: Rigid and Discrete Pricing Under Demand Uncertainty
Paralyzed by Fear: Rigid and Discrete Pricing Under Demand Uncertainty
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因恐惧而瘫痪：需求不确定性下的刚性和离散定价
DOI：
10.2139/ssrn.3439686
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Nicolas Vincent
中科院分区：
文献类型：
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作者：
Cosmin L. Ilut;Rosen Valchev;Nicolas Vincent
我们提出了一种新的价格刚性理论，该理论基于企业对其竞争环境的奈特不确定性。这种不确定性有两个关键含义。首先，企业从过去对销售数量的观察中了解其需求函数的形状。这种学习会导致先前观察到的价格的预期利润函数出现扭结，从而使这些价格变得粘性且更有可能再次出现。其次，总体通胀与行业通胀之间关系的不确定性产生了名义刚性。我们通过分析证明了主要见解并量化了我们机制的效果。我们估计的定量模型与广泛的微观定价事实相一致，这些事实通常很难联合匹配。它还意味着比标准模型更持久的货币非中性，使其能够从名义冲击中产生巨大的实际影响。
We propose a new theory of price rigidity based on firms' Knightian uncertainty about their competitive environment. This uncertainty has two key implications. First, firms learn about the shape of their demand function from past observations of quantities sold. This learning gives rise to kinks in the expected profit function at previously observed prices, making those prices both sticky and more likely to reoccur. Second, uncertainty about the relationship between aggregate and industry‐level inflation generates nominal rigidity. We prove the main insights analytically and quantify the effects of our mechanism. Our estimated quantitative model is consistent with a wide range of micro‐level pricing facts that are typically challenging to match jointly. It also implies significantly more persistent monetary non‐neutrality than in standard models, allowing it to generate large real effects from nominal shocks.