Dynamics of sticky information and sticky price models in a New Keynesian DSGE framework

Download

index.pdf

Date

2008-11-01

Author

Arslan, M. Murat

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

307
views

0
downloads

Recent literature on monetary policy analysis extensively uses the sticky price model of price adjustment in a New Keynesian Macroeconomic framework. This price setting model, however. has been criticized for producing implausible results regarding inflation and output dynamics. This paper examines and compares dynamic responses of the sticky price and sticky information models to a cost-push shock in a New Keynesian DSGE framework. It finds that the sticky information model produces more reasonable dynamics through lagged. gradual and hump-shaped responses to a shock as observed in data. However, these responses depend on the persistence of the shock.

Subject Keywords

Economics and Econometrics

URI

https://hdl.handle.net/11511/63449

Journal

ECONOMIC MODELLING

DOI

https://doi.org/10.1016/j.econmod.2008.04.006

Collections

Economics and Administrative Sciences, Article

Suggestions

OpenMETU
Core

A quantitative analysis of cost-push shocks and optimal inflation volatility Senay, Ozge; Sutherland, Alan (Informa UK Limited, 2008-01-01) This article presents a quantitative analysis of optimal inflation volatility in a simple sticky-price general equilibrium model subject to both supply and cost-push shocks. It is found that optimal policy implies a relatively small degree of inflation volatility even when cost-push shocks are the dominant source of economic disturbance. In addition, it is found that optimal policy generates only a very small welfare gain when compared to strict inflation targeting.
Macroeconomic and institutional determinants of current account deficits Ozmen, E (Informa UK Limited, 2005-07-15) This study empirically investigates the effects of institutional and macroeconomic policy variables on current account deficits (CAD). Based on cross-section data for a broad number of countries, the results suggest that better governance increases whilst 'original sin' decreases the ability of an economy to sustain CAD. Exchange rate flexibility and openness appear to put a discipline on CAD. Consistent with the equity home bias and Feldstein-Horioka puzzle, CAD decrease with country size. The net impacts ...
The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US Kocaarslan, Baris; SOYTAŞ, MEHMET ALİ; Soytaş, Uğur (Elsevier BV, 2020-02-01) In this study, we investigate the presence of asymmetric interactions between oil prices, oil price uncertainty, interest rates, and unemployment in a cointegration framework. Utilizing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of unemployment to changes in oil prices, oil price uncertainty and interest rates in the long-run. More specifically, the results of our analyses suggest that an increase in oil price results in increased unemployment while ther...
Interest rates and monetary policy Gazioglu, S.; McCausland, W. D. (Informa UK Limited, 2009-01-01) This article conducts a thorough intertemporal analysis of nominal interest rate based monetary policy. Its main contribution is to show how such a policy can have different effects depending on the assumptions made about the saving and borrowing behaviour of firms. We consider two cases: (i) consumers are savers and firms are borrowers and (ii) both consumers and firms are borrowers (the nation as a whole is borrowing from abroad). In one case we confirm conventional wisdom, but in the other case we find t...
The impact of value added components of GDP and FDI on economic freedom in Europe SAYARI MARCUM, NAZ; Sarı, Ramazan; Hammoudeh, Shawkat (Elsevier BV, 2018-06-01) This paper investigates the possibility of a long-run relationship between the Economic Freedom Index (EFI), Foreign Direct Investment (FDI) and value added components of GDP in thirty Eastern, Central and Western European countries. The study further examines whether the FDI and sector-specific components of GDP have any significant impact on economic freedom for these countries. We use annual data and employ Pedroni and KAO panel cointegration analyses to assess the long-run relationships. The results ind...

Citation Formats

M. M. Arslan, “Dynamics of sticky information and sticky price models in a New Keynesian DSGE framework,” ECONOMIC MODELLING, pp. 1276–1294, 2008, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/63449.