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Licensed Unlicensed Requires Authentication Published by De Gruyter July 24, 2012

A Unified Framework for Using Micro-Data to Compare Dynamic Time-Dependent Price-Setting Models

  • Huw Dixon EMAIL logo

Abstract

This paper develops a statistical framework of steady-state identities which enable us to match the distributions of durations found in the micro-data to generalized Taylor and Calvo models of time-dependent pricing. We illustrate the approach with the UK micro CPI data for 1996-2009, and employ the pricing models in a simple macromodel. We find that the Generalized Taylor Economy generates a hump shaped inflation impulse response function, whilst the Generalized Calvo does not.

Published Online: 2012-7-24

©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston

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