Is a Calvo Price Setting Model Consistent with Individual Price Data?
Identifieur interne : 000F64 ( Main/Exploration ); précédent : 000F63; suivant : 000F65Is a Calvo Price Setting Model Consistent with Individual Price Data?
Auteurs : Luis J. Alvarez [Espagne] ; Pablo Burriel [Espagne]Source :
- The B.E. Journal of Macroeconomics [ 1935-1690 ] ; 2010-05-24.
Abstract
This paper shows that the standard Calvo model clearly fails to account for the distribution of price durations found in micro data. We propose a novel price setting model that fully captures heterogeneity in individual pricing behavior. Specifically, we assume that there is a continuum of firms that set prices according to a Calvo mechanism, each of them with a possibly different price adjustment parameter. The model is estimated by maximum likelihood and closely matches individual consumer and producer price data. Incorporating estimated price setting rules into a standard DSGE model shows that fully accounting for pricing heterogeneity is crucial to understanding inflation and output dynamics. The standard calibration that assumes within sector homogeneity, as in Carvalho (2006), is at odds with micro data evidence and leads to a substantial distortion of estimates of the real impact of monetary policy.
Url:
DOI: 10.2202/1935-1690.1748
Affiliations:
Links toward previous steps (curation, corpus...)
- to stream Istex, to step Corpus: 001820
- to stream Istex, to step Curation: 001735
- to stream Istex, to step Checkpoint: 000A88
- to stream Main, to step Merge: 000F66
- to stream Main, to step Curation: 000F64
Le document en format XML
<record><TEI wicri:istexFullTextTei="biblStruct"><teiHeader><fileDesc><titleStmt><title xml:lang="en">Is a Calvo Price Setting Model Consistent with Individual Price Data?</title>
<author><name sortKey="Alvarez, Luis J" sort="Alvarez, Luis J" uniqKey="Alvarez L" first="Luis J." last="Alvarez">Luis J. Alvarez</name>
</author>
<author><name sortKey="Burriel, Pablo" sort="Burriel, Pablo" uniqKey="Burriel P" first="Pablo" last="Burriel">Pablo Burriel</name>
</author>
</titleStmt>
<publicationStmt><idno type="wicri:source">ISTEX</idno>
<idno type="RBID">ISTEX:C075D7BF6FA7CEB97A0DEC0A8C0690403FF3C5C3</idno>
<date when="2010" year="2010">2010</date>
<idno type="doi">10.2202/1935-1690.1748</idno>
<idno type="url">https://api.istex.fr/document/C075D7BF6FA7CEB97A0DEC0A8C0690403FF3C5C3/fulltext/pdf</idno>
<idno type="wicri:Area/Istex/Corpus">001820</idno>
<idno type="wicri:Area/Istex/Curation">001735</idno>
<idno type="wicri:Area/Istex/Checkpoint">000A88</idno>
<idno type="wicri:Area/Main/Merge">000F66</idno>
<idno type="wicri:Area/Main/Curation">000F64</idno>
<idno type="wicri:Area/Main/Exploration">000F64</idno>
</publicationStmt>
<sourceDesc><biblStruct><analytic><title level="a" type="main" xml:lang="en">Is a Calvo Price Setting Model Consistent with Individual Price Data?</title>
<author><name sortKey="Alvarez, Luis J" sort="Alvarez, Luis J" uniqKey="Alvarez L" first="Luis J." last="Alvarez">Luis J. Alvarez</name>
<affiliation wicri:level="1"><country wicri:rule="url">Espagne</country>
<wicri:regionArea>Banco de España</wicri:regionArea>
</affiliation>
<affiliation wicri:level="1"><country wicri:rule="url">Espagne</country>
</affiliation>
</author>
<author><name sortKey="Burriel, Pablo" sort="Burriel, Pablo" uniqKey="Burriel P" first="Pablo" last="Burriel">Pablo Burriel</name>
<affiliation wicri:level="1"><country wicri:rule="url">Espagne</country>
<wicri:regionArea>Banco de España</wicri:regionArea>
</affiliation>
<affiliation wicri:level="1"><country wicri:rule="url">Espagne</country>
</affiliation>
</author>
</analytic>
<monogr></monogr>
<series><title level="j">The B.E. Journal of Macroeconomics</title>
<idno type="eISSN">1935-1690</idno>
<imprint><publisher>De Gruyter</publisher>
<date type="published" when="2010-05-24">2010-05-24</date>
<biblScope unit="volume">10</biblScope>
<biblScope unit="issue">1</biblScope>
</imprint>
</series>
<idno type="istex">C075D7BF6FA7CEB97A0DEC0A8C0690403FF3C5C3</idno>
<idno type="DOI">10.2202/1935-1690.1748</idno>
<idno type="ArticleID">1935-1690.1748</idno>
<idno type="pdf">bejm.2010.10.1.1748.pdf</idno>
</biblStruct>
</sourceDesc>
</fileDesc>
<profileDesc><textClass></textClass>
<langUsage><language ident="en">en</language>
</langUsage>
</profileDesc>
</teiHeader>
<front><div type="abstract" xml:lang="en">This paper shows that the standard Calvo model clearly fails to account for the distribution of price durations found in micro data. We propose a novel price setting model that fully captures heterogeneity in individual pricing behavior. Specifically, we assume that there is a continuum of firms that set prices according to a Calvo mechanism, each of them with a possibly different price adjustment parameter. The model is estimated by maximum likelihood and closely matches individual consumer and producer price data. Incorporating estimated price setting rules into a standard DSGE model shows that fully accounting for pricing heterogeneity is crucial to understanding inflation and output dynamics. The standard calibration that assumes within sector homogeneity, as in Carvalho (2006), is at odds with micro data evidence and leads to a substantial distortion of estimates of the real impact of monetary policy.</div>
</front>
</TEI>
<affiliations><list><country><li>Espagne</li>
</country>
</list>
<tree><country name="Espagne"><noRegion><name sortKey="Alvarez, Luis J" sort="Alvarez, Luis J" uniqKey="Alvarez L" first="Luis J." last="Alvarez">Luis J. Alvarez</name>
</noRegion>
<name sortKey="Alvarez, Luis J" sort="Alvarez, Luis J" uniqKey="Alvarez L" first="Luis J." last="Alvarez">Luis J. Alvarez</name>
<name sortKey="Burriel, Pablo" sort="Burriel, Pablo" uniqKey="Burriel P" first="Pablo" last="Burriel">Pablo Burriel</name>
<name sortKey="Burriel, Pablo" sort="Burriel, Pablo" uniqKey="Burriel P" first="Pablo" last="Burriel">Pablo Burriel</name>
</country>
</tree>
</affiliations>
</record>
Pour manipuler ce document sous Unix (Dilib)
EXPLOR_STEP=$WICRI_ROOT/Wicri/Belgique/explor/OpenAccessBelV2/Data/Main/Exploration
HfdSelect -h $EXPLOR_STEP/biblio.hfd -nk 000F64 | SxmlIndent | more
Ou
HfdSelect -h $EXPLOR_AREA/Data/Main/Exploration/biblio.hfd -nk 000F64 | SxmlIndent | more
Pour mettre un lien sur cette page dans le réseau Wicri
{{Explor lien |wiki= Wicri/Belgique |area= OpenAccessBelV2 |flux= Main |étape= Exploration |type= RBID |clé= ISTEX:C075D7BF6FA7CEB97A0DEC0A8C0690403FF3C5C3 |texte= Is a Calvo Price Setting Model Consistent with Individual Price Data? }}
This area was generated with Dilib version V0.6.25. |