Enhancing the Micro-Foundations of Price Adjustment in Quantitative Macroeconomic Models for Policy Evaluation

增强政策评估的定量宏观经济模型中价格调整的微观基础

• 批准号: 0551433
• 负责人: Mark Gertler
• 金额: --
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2006
• 资助国家: 美国
• 起止时间: 2006-06-01 至 2009-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0551433&HistoricalAwards=false
• 关键词: Enhancing; Micro; Foundations; Price; Adjustment

There is a now a widespread literature aimed at developing macroeconomic models explicitly from underlying microeconomic theory that can confront data and be used for the evaluation of monetary and fiscal policies. While there has been considerable progress, there also has been controversy over one critical dimension: the modeling of nominal price rigidities that appear central to capturing the joint dynamics inflation and output and also to the transmission of monetary policy. While these frameworks derive aggregate relationships from individual optimization, in modeling the firms' price setting decisions they typically restrict attention to "time-dependent" rules that take the frequency of price adjustment as exogenous. Accordingly, there is an on-going controversy about how reliable these models can be, given that they take a critical feature of the model, namely the degree of price rigidity, as given.The broad goal of this project is to enrich the micro-foundations of price adjustment in macroeconomic models that can be used for empirical analysis and policy evaluation. Our starting point is to relax the strong assumption of time-dependent pricing, and instead consider the natural alternative of state-dependent pricing, where the firm is free to adjust whenever it would like, subject to a fixed adjustment cost. Of course, the virtues of state-dependent pricing have been appreciated for many years. What has stalled progress with this approach is that it leads to "Ss" pricing policies which are, in general, difficult to aggregate. This project will develop a macroeconomic framework with state-dependent pricing that is as tractable as the widely-used time-dependent models. In the first part of the project we will develop and refine an approximate solution to a simple macroeconomic framework with state-dependent pricing. It will derive a simple Phillips curve relation between inflation and real activity that evolves from state-dependent pricing. This Phillips curve will serve as a canonical baseline case, similar in spirit to the well known New Keynesian Phillips that comes from time-dependent pricing. A key step in this derivation is a "simplification" theorem that, given certain assumptions, justifies the use of an approximation for the individual firm's objective that ultimately makes the state-dependent pricing problem as tractable as corresponding time-dependent problem.The second part of the project will focus on extending the framework to capture both the microeconomic and macroeconomic evidence on price dynamics. It is well known, for example, that the baseline New Keynesian Phillips curve has difficulty capturing the high degree of persistence in inflation. The literature has developed extensions of this baseline model that significantly improve performance. Similarly, our goal is to explore extensions of the baseline state-dependent model that the lead the framework to account well for inflation dynamics. In doing so, we will consider synthesizing our state-dependent approach with alternatives that stress imperfect information and rational attention. Finally, in evaluating this model against the data, the investigators will make use of a new micro data set that contains evidence that has direct bearing on state-dependent pricing.Broader impacts: This work could lead to a number of articles in academic journals that improve our understanding of aggregate price and output dynamics. The methodology developed should be useful to applied researchers at central banks for forecasting inflation and output and also exploring the effects of alternative macroeconomic policies.

现在有一个广泛的文献，旨在明确地从微观经济理论基础上发展宏观经济模型，可以面对数据，并用于评估货币和财政政策。 虽然取得了相当大的进展，但在一个关键维度上也存在争议：名义价格刚性的建模似乎是捕捉通胀和产出联合动态以及货币政策传导的核心。虽然这些框架从个体优化中得出总体关系，但在对企业的价格制定决策进行建模时，它们通常将注意力限制在“时间依赖”规则上，这些规则将价格调整的频率视为外生的。因此，这些模型的一个重要特征，即价格刚性的程度是给定的，其可靠性如何，一直存在争议。本课题的主要目标是，在可用于实证分析和政策评价的宏观经济模型中，充实价格调整的微观基础。我们的出发点是放松时间依赖定价的强假设，而是考虑状态依赖定价的自然选择，在这种情况下，公司可以在任何时候自由调整，但调整成本是固定的。当然，政府定价的优点多年来一直受到赞赏。这种方法阻碍进展的原因是，它会导致“S”定价政策，而这些政策通常很难汇总。 本项目将开发一个宏观经济框架，与国家相关的定价，是作为广泛使用的时间依赖模型易于处理。在项目的第一部分，我们将开发和完善一个简单的宏观经济框架与国家依赖定价的近似解决方案。它将推导出一个简单的菲利普斯曲线之间的通货膨胀和真实的活动，从国家依赖的定价演变。这条菲利普斯曲线将作为一个典型的基线案例，在精神上类似于著名的新凯恩斯主义菲利普斯，来自时间依赖定价。在这个推导过程中的一个关键步骤是一个“简化”定理，在一定的假设下，证明使用一个近似的个别公司的目标，最终使国家依赖的定价问题作为相应的时间依赖problem.The项目的第二部分将集中在扩展框架，以捕捉微观和宏观经济的价格动态的证据。例如，众所周知，新凯恩斯主义菲利普斯曲线的基线很难捕捉到通货膨胀的高度持续性。文献已经开发了这个基线模型的扩展，显着提高性能。同样，我们的目标是探索基线状态依赖模型的扩展，使框架能够很好地解释通货膨胀动态。在此过程中，我们将考虑将我们的状态依赖方法与强调不完美信息和理性注意力的替代方法相结合。最后，在评估这个模型对数据，研究人员将利用一个新的微观数据集，其中包含的证据，有直接关系到国家依赖定价。更广泛的影响：这项工作可能会导致一些学术期刊上的文章，提高我们的理解总价格和产出动态。所制定的方法应有助于中央银行的应用研究人员预测通货膨胀和产出，并探讨替代宏观经济政策的影响。