Advances in Macroeconomics and Econometrics

这项研究产生了对企业定价行为的新见解，并制定了有助于广泛应用计量经济学工作的指导方针。提出了两个研究领域。第一个项目研究的问题是，为什么企业不立即调整价格以适应新的经济基本面？这个问题触及了经济学中许多核心问题的核心。这里新颖的建议是研究一个有足够数量的观察到的价格变化的长时间序列，这样我们就可以对预测单个企业改变其价格的条件做出有用的统计陈述。基本情况菜单成本模型表明，过去的价格和基本面的历史应该只通过当前价格和基本价值之间的差距影响观察到价格变化的可能性。提出了一个框架来检验这一含义，并量化和解释在企业实际价格中观察到的替代动态。第二组项目研究归一化在计量经济学中的作用。这个问题，长期以来被认为与实质性问题无关，最近被证明对估计的脉冲响应函数和在许多模型中典型计算的置信区间有重大影响。这个研究建议提出了一个统一的原则，可以用来解决已经记录的问题，以及在一些计量经济学应用中，这个问题尚未被认识到的帮助。

This research generates new insights into firms' price-setting behavior and develops guidelines that will be helpful in a wide range of applied econometric work. Two areas of research are proposed. The first project studies the question, why don't firms instantly adjust their prices to new economic fundamentals? This question gets to the heart of many of the central issues in economics. The novel suggestion here is to study a long time series with a sufficient number of observed price changes that we can make a useful statistical statement about the conditions under which an individual firm is predicted to change its price. A base-case menu cost model is shown to have the implication that the past history of prices and fundamentals should influence the probability of observing a price change only through the gap between the current price and fundamental value. A framework is proposed for testing this implication and quantifying and interpreting alternative dynamics that are observed in firms' actual prices.The second set of projects studies the role of normalization in econometrics. This issue, long thought to be irrelevant for substantive questions, has recently been shown to make a significant difference for the estimated impulse-response functions and confidence intervals as typically calculated in a number of models. This research proposal suggests a unifying principle that could be used to resolve both the problems that have already been documented as well as help in a number of econometric applications where this issue has yet to be recognized.