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Author : James Costain
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (434 download)
Download or read book Dynamics of the Price Distribution in a General Model of State-dependent Pricing written by James Costain and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Costain
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)
Download or read book Dynamics of the Price in a General Model of State-dependent Pricing written by James Costain and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the effects of monetary shocks in a DSGE model that allows for a general form of smoothly state-dependent pricing by firms. As in Dotsey, King, and Wolman (1999) and Caballero and Engel (2007), our setup is based on one fundamental property: firms are more likely to adjust their prices when doing so is more valuable. The exogenous timing (Calvo 1983) and fixed menu cost (Golosov and Lucas 2007) models are nested as limiting cases of our setup. Our model is calibrated to match the steady-state distribution of price adjustments in microdata; realism calls for firm-specific shocks. Computing a dynamic general equilibrium requires us to calculate how the distribution of prices and productivities evolves over time. We solve the model using the method of Reiter (2008), which is well-suited to this type of problem because it combines a fully nonlinear treatment of firm-level state variables with a linearization of the aggregate dynamics. We compute impulse responses to iid and autocorrelated money growth shocks, and decompose the inflation impact into 'intensive margin', 'extensive margin' and 'selection' components. Under our most successful calibration, increased money growth causes a persistent rise in inflation and output. The real effects are substantially larger if money growth is autocorrelated. In contrast, if we instead impose a fixed menu cost specification, money growth shocks cause a sharp spike in inflation (via the selection component) so that the real effects are small and short-lived, especially if money growth is iid. [Resumen de autor]
Author : Michael Woodford
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (611 download)
Download or read book Information-constrained State-dependent Pricing written by Michael Woodford and published by . This book was released on 2008 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present a generalization of the standard (full-information) model of state-dependent pricing in which decisions about when to review a firm's existing price must be made on the basis of imprecise awareness of current market conditions. The imperfect information is endogenized using a variant of the theory of "rational inattention" proposed by Sims (1998, 2003, 2006). This results in a one-parameter family of models, indexed by the cost of information, which nests both the standard state-dependent pricing model and the Calvo model of price adjustment as limiting cases (corresponding to a zero information cost and an unboundedly large information cost respectively). For intermediate levels of the information cost, the model is equivalent to a "generalized Ss model" with a continuous "adjustment hazard" of the kind proposed by Caballero and Engel (1993a, 1993b), but provides an economic motivation for the hazard function and very specific predictions about its form. For high enough levels of the information cost, the Calvo model of price-setting is found to be a reasonable approximation to the exact equilibrium dynamics, except in the case of (infrequent) large shocks. When the model is calibrated to match the frequency and size distribution of price changes observed in microeconomic data sets, prices are found to be much less flexible than in a full-information state-dependent pricing model, and only about 20 percent more flexible than under a Calvo model with the same average frequency of price adjustment.
Author : Michael Woodford
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (12 download)
Download or read book Information-constrained State-dependent Pricing written by Michael Woodford and published by . This book was released on 2008 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: I present a generalization of the standard (full-information) model of state- dependent pricing in which decisions about when to review a firm's existing price must be made on the basis of imprecise awareness of current market conditions. The imperfect information is endogenized using a variant of the theory of "rational inattention" proposed by Sims (1998, 2003, 2006). This results in a one-parameter family of models, indexed by the cost of information, which nests both the standard state-dependent pricing model and the Calvo model of price adjustment as limiting cases (corresponding to a zero information cost and an unboundedly large information cost respectively). For intermediate levels of the information cost, the model is equivalent to a "generalized Ss model" with a continuous \adjustment hazard" of the kind proposed by Caballero and Engel (1993a, 1993b), but provides an economic motivation for the hazard function and very specific predictions about its form. For high enough levels of the information cost, the Calvo model of price-setting is found to be a reasonable approximation to the exact equilibrium dynamics, except in the case of (infrequent) large shocks. When the model is calibrated to match the frequency and size distribution of price changes observed in microeconomic data sets, prices are found to be much less flexible than in a full-information state-dependent pricing model, and only about 20 percent more flexible than under a Calvo model with the same average frequency of price adjustment.
Author : Vladislav Damjanovic
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Aggregate Dynamics with Heterogeneous Agents and State-Dependent Pricing written by Vladislav Damjanovic and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the consequences of (S, s) pricing rules in a dynamic economy with heterogeneous costs of price adjustment. We construct the stationary distributions for aggregate output and prices for our model economy. As a result of our assumption of heterogeneous costs we find that: (i) Some sectors change prices more regularly than others; (ii) Price changes are asynchronized (relative prices may be moving in opposite directions in different sectors); (iii) The economy may be more sensitive to demand shocks. There is broad empirical support for the predictions of the model.
Author : Michael B. Devereux
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book State Dependent Pricing and Business Cycle Asymmetries written by Michael B. Devereux and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a tractable, dynamic general equilibrium model of state-dependent pricing and study the response of output and prices to monetary policy shocks. We find important nonlinearities in these responses. For empirically relevant shocks, this generates substantially different predictions from time-dependent pricing. We also find a distinct asymmetry with state-dependent pricing: Prices respond more to positive shocks than they do to negative shocks. This is due to a strategic linkage between firms in the incentive for price adjustment. Our state-dependent model can account for business cycle asymmetries in output of the magnitude found in empirical studies.
Author : Wai-Yip Alex Ho
Publisher : Open Dissertation Press
ISBN 13 : 9781374726345
Total Pages : 126 pages
Book Rating : 4.7/5 (263 download)
Download or read book ESSAYS ON STATE DEPENDENT PRIC written by Wai-Yip Alex Ho and published by Open Dissertation Press. This book was released on 2017-01-27 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Essays on State Dependent Pricing Models" by Wai-yip, Alex, Ho, 何偉業, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled Essays on State Dependent Pricing Models submitted by Wai-Yip Alex HO for the degree of Master of Philosophy in Economics at The University of Hong Kong in August 2004 Abstract A dynamic general equilibrium model is developed to study the properties of state dependent pricing. In the rst section, we analyze the long-run properties of the model and nd that the eect of strategic complementarity in pricing decision between rms plays an important role in the model. When trend ination rate exceeds some critical level, such strategic complementarity results in existence of multiple equilibria in the model (2 equilibria). As trend ination increases, the dierence between the two equilibria gets wider. We then investigate the number of possible equilibrium by looking at the best response function of rms over certain values of trend ination rate. We nd that there exist one more unstable equilibrium. We nally access the long run dierence between the state dependent pricing model and the Calvo-pricing model and nd that the eect of trend ination on the model with state dependent pricing is much smaller than with Calvo-pricing. Under the same model specication and over the range of 1% to 6% trend ination rate, we nd that the eect of an increase in trend ination with state dependent pricing is smaller than with Calvo-pricing. In the next section, we explore the properties of the impulse responses of the state-dependent pricing model and compare it with a time-dependent pricing model. State-dependent pricing models show asymmetries in responding to dierent signs of a temporary money supply growth rate shock. However, real eects of such monetary shocks are not increasing proportionally to the size of the shock. Interestingly, we nd that if the size of the shock exceeds some critical level, the impulse response of the model to a positive shock converges to the impulse response to a negative shock. DOI: 10.5353/th_b3105994 Subjects: Pricing - Mathematical models
Author : James Costain
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (733 download)
Download or read book Price Adjustments in a General Model of State-dependent Pricing written by James Costain and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Caplin
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (584 download)
Download or read book State-dependent Pricing and the Dynamics of Money and Output written by Andrew Caplin and published by . This book was released on 1989 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : James Costain
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (839 download)
Download or read book Distributional Dynamics Under Smoothly State-dependent Pricing written by James Costain and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Dotsey
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (254 download)
Download or read book Implications of State-dependent Pricing for Dynamic Macroeconomic Models written by Michael Dotsey and published by . This book was released on 2005 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Costain
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (125 download)
Download or read book Price Adjustments in a General Models of State-dependent Pricing written by James Costain and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert E. Lucas Jr.
Publisher : Harvard University Press
ISBN 13 : 0674071212
Total Pages : 517 pages
Book Rating : 4.6/5 (74 download)
Download or read book Collected Papers on Monetary Theory written by Robert E. Lucas Jr. and published by Harvard University Press. This book was released on 2013-01-07 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Lucas is one of the outstanding monetary theorists of the past hundred years. Along with Knut Wicksell, Irving Fisher, John Maynard Keynes, James Tobin, and Milton Friedman (his teacher), Lucas revolutionized our understanding of how money interacts with the real economy of production, consumption, and exchange. Lucas’s contributions are both methodological and substantive. Methodologically, he developed dynamic, stochastic, general equilibrium models to analyze economic decision-makers operating through time in a complex, probabilistic environment. Substantively, he incorporated the quantity theory of money into these models and derived its implications for money growth, inflation, and interest rates in the long run. He also showed the different effects of anticipated and unanticipated changes in the stock of money on economic fluctuations, and helped to demonstrate that there was not a long-run trade-off between unemployment and inflation (the Phillips curve) that policy-makers could exploit. The twenty-one papers collected in this volume fall primarily into three categories: core monetary theory and public finance, asset pricing, and the real effects of monetary instability. Published between 1972 and 2007, they will inspire students and researchers who want to study the work of a master of economic modeling and to advance economics as a pure and applied science.
Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author : Jonathan L. Willis
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (248 download)
Download or read book Estimation of Adjustment Costs in a Model of State-dependent Pricing written by Jonathan L. Willis and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Warren B. Powell
Publisher : John Wiley & Sons
ISBN 13 : 111802916X
Total Pages : 573 pages
Book Rating : 4.1/5 (18 download)
Download or read book Approximate Dynamic Programming written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2011-10-26 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition "Finally, a book devoted to dynamic programming and written using the language of operations research (OR)! This beautiful book fills a gap in the libraries of OR specialists and practitioners." —Computing Reviews This new edition showcases a focus on modeling and computation for complex classes of approximate dynamic programming problems Understanding approximate dynamic programming (ADP) is vital in order to develop practical and high-quality solutions to complex industrial problems, particularly when those problems involve making decisions in the presence of uncertainty. Approximate Dynamic Programming, Second Edition uniquely integrates four distinct disciplines—Markov decision processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully approach, model, and solve a wide range of real-life problems using ADP. The book continues to bridge the gap between computer science, simulation, and operations research and now adopts the notation and vocabulary of reinforcement learning as well as stochastic search and simulation optimization. The author outlines the essential algorithms that serve as a starting point in the design of practical solutions for real problems. The three curses of dimensionality that impact complex problems are introduced and detailed coverage of implementation challenges is provided. The Second Edition also features: A new chapter describing four fundamental classes of policies for working with diverse stochastic optimization problems: myopic policies, look-ahead policies, policy function approximations, and policies based on value function approximations A new chapter on policy search that brings together stochastic search and simulation optimization concepts and introduces a new class of optimal learning strategies Updated coverage of the exploration exploitation problem in ADP, now including a recently developed method for doing active learning in the presence of a physical state, using the concept of the knowledge gradient A new sequence of chapters describing statistical methods for approximating value functions, estimating the value of a fixed policy, and value function approximation while searching for optimal policies The presented coverage of ADP emphasizes models and algorithms, focusing on related applications and computation while also discussing the theoretical side of the topic that explores proofs of convergence and rate of convergence. A related website features an ongoing discussion of the evolving fields of approximation dynamic programming and reinforcement learning, along with additional readings, software, and datasets. Requiring only a basic understanding of statistics and probability, Approximate Dynamic Programming, Second Edition is an excellent book for industrial engineering and operations research courses at the upper-undergraduate and graduate levels. It also serves as a valuable reference for researchers and professionals who utilize dynamic programming, stochastic programming, and control theory to solve problems in their everyday work.
