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

现在有一种广为流传的文献，旨在明确地从基本的微观经济理论开发宏观经济模型，这些模型可以面对数据，并用于评估货币和财政政策。尽管已经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对于捕捉通胀和产出的联合动态以及货币政策的传导至关重要。虽然这些框架从个体优化中得出聚合关系，但在对企业的定价决策进行建模时，它们通常将注意力限制在将价格调整频率视为外生的“时间依赖”规则上。因此，这些模型的可靠性一直存在争议，因为它们将模型的一个关键特征，即价格刚性程度作为给定的。该项目的广泛目标是丰富宏观经济模型中价格调整的微观基础，用于实证分析和政策评估。我们的出发点是放松时间依赖定价的强烈假设，转而考虑国家依赖定价的自然替代方案，在这种方案中，企业可以在任何时候自由调整，但要满足固定的调整成本。当然，依赖国家定价的好处多年来一直得到人们的赞赏。这种方法的进展停滞不前的是，它导致了“SS”定价政策，通常很难汇总。该项目将制定一个宏观经济框架，其定价依赖于国家，与广泛使用的时间依赖模型一样易于处理。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的近似解决方案，该框架的定价依赖于国家。它将推导出一个简单的菲利普斯曲线关系，即通胀和实际活动之间的关系，这种关系是由国家依赖的定价演变而来的。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，后者来自于时间依赖的定价。这一推导的关键一步是“简化”定理，该定理在给定某些假设的情况下，证明对单个公司的目标使用近似是合理的，从而最终使依赖国家的定价问题与相应的依赖时间的问题一样容易处理。该项目的第二部分将专注于扩展框架，以捕捉关于价格动态的微观和宏观经济证据。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胀的高度持续性。文献已经开发了该基线模型的扩展，显著提高了性能。同样，我们的目标是探索基线状态依赖模型的扩展，使该框架能够很好地解释通胀动态。在这样做的时候，我们将考虑将我们依赖国家的方法与强调不完全信息和理性关注的替代方法结合起来。最后，在根据数据评估该模型时，调查人员将利用一个新的微观数据集，该数据集包含了与国家依赖的价格直接相关的证据。广泛影响：这项工作可能会在学术期刊上发表一些文章，提高我们对总价格和产出动态的理解。开发的方法应该对央行的应用研究人员有用，用于预测通胀和产出，并探索替代宏观经济政策的影响。

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.