A NOTE ON INCREASING HAZARD FUNCTIONS AND THE MONETARY TRANSMISSION MECHANISM

Autor:	Fang Yao
Rok vydání:	2014
Předmět:	Hazard (logic) Economics and Econometrics 050208 finance Reset (finance) 05 social sciences Nominal rigidity Monetary policy Monetary economics Function (mathematics) Real rigidity 0502 economics and business Econometrics Economics 050207 economics Macro Impulse response
Zdroj:	Macroeconomic Dynamics. 20:446-459
ISSN:	1469-8056 1365-1005
DOI:	10.1017/s1365100514000376
Popis:	This note studies the implications of the price reset hazard function for the monetary transmission mechanism of sticky price models. I first document some general analytical results that highlight the central role of the price (accumulative) distribution in linking the hazard function and the impulse response function. I find that nominal rigidity underlying increasing hazard functions is more successful than real rigidity in replicating realistic macro persistence. In addition, numerical simulations show that the interaction between the increasing hazard function and the real rigidity provides a powerful propagation mechanism for monetary shocks.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::961b517c00fbc37c7d4c68c1b1161770 https://doi.org/10.1017/s1365100514000376 Zobrazit plný text záznamu