Seminario de Investigación "The Macroeconomics of Sticky Prices with Generalized Hazard Functions"

El seminario destinado a docentes, investigadores, becarios y estudiantes interesados en la temática, se realizó el viernes 17 de septiembre a las 12:30 horas por videoconferencia, con presentación a cargo de Fernando Álvarez (University of Chicago & NBER).

Fernando Álvarez es Profesor en la Universidad de Chicago (USA) e Investigador del National Bureau of Economic Research (NBER). Es Licenciado en Economía por la UNLP y tiene un PhD en Economía por la Universidad de Minnesota (USA). Es fellow de la Econometric Society, Society for Advancement of Economic Theory, miembro de la American Academy of Arts and Science, y académico correspondiente de la Academia Nacional de Ciencias Económicas (Argentina). Se especializa en macroeconomía y finanzas y sus investigaciones han sido publicadas en revistas académicas como Econometrica, Journal of Political Economy, American Economic Review, Review of Economic Studies y Quarterly Journal of Economics, entre otras. También es editor del Journal of Political Economy, entre otros.

Abstract: We give a full analytic characterization of a large class of sticky-price models where the firm’s price setting behavior is described by a generalized hazard function. Such a function allows for a vast variety of empirical hazards to be fitted. This setup is microfounded by random menu costs as in Caballero and Engel (1993) or, alternatively, by information frictions as in Woodford (2009). We establish two main results. First, we show how to identify all the primitives of the model, including the distribution of the fundamental adjustment costs and the implied generalized hazard function, using the distribution of price changes. Second, we derive a sufficient statistic for the aggregate effect of a monetary shock: given an arbitrary generalized hazard function, the cumulative impulse response of output to a once-and-for-all monetary shock is proportional to the ratio of the kurtosis of the steady-state distribution of price changes over the frequency of price adjustment. We prove that Calvo’s model yields the upper bound and Golosov and Lucas’s model the lower bound on this measure within the class of random menu cost models.

Autores: Fernando Álvarez (University of Chicago & NBER), Francisco Lippi (LUISS University & EIEF) y Aleksei Oskolkov (University of Chicago)

Organizaron: Departamento de Economía, Instituto de Investigaciones Económicas y Revista Económica

Contacto: iie@econo.unlp.edu.ar

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