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Assessing sticky price models using the Burns and Mitchell approach

[Zeitschriftenartikel]

Páez-Farrell, Juan

Zitationshinweis

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Abstract This paper evaluates sticky-price models using the methods proposed by Burns and Mitchell, focusing on the monetary aspects of the business cycle. Recent research has emphasised the responses of models to shocks at the expense its systematic component. Whereas sticky-price models have been successful at replicating impulse response functions from VARs, this paper highlights that they are unable to mimic the data for nominal variables. Moreover, the results are robust to the specification of the Phillips curve, including its backward-looking variant; calibrated values and the inclusion of fiscal policy shocks. Since being able to mimic the data is the lowest hurdle a model must pass, these results pose a challenge for sticky price models.
Klassifikation Volkswirtschaftslehre; Wirtschaftspolitik
Freie Schlagwörter New Keynesian Models; Business Cycles; Correlations; Burns and Mitchell
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 1387-1397
Zeitschriftentitel Applied Economics, 40 (2008) 11
DOI http://dx.doi.org/10.1080/00036840600794363
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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