Non-constant hazard function and inflation dynamics

Arbeitspapier

This paper explores implications of nominal rigidity characterized by a non-constant hazard function for aggregate dynamics. I derive the NKPC under an arbitrary hazard function and parameterize it with the Weibull duration model. The resulting Phillips curve involves lagged inflation and lagged expectations. It nests the Calvo NKPC as a limiting case in the sense that the effects of both terms are canceled out under the constant-hazard assumption. Furthermore, I find lagged inflation always has negative coefficients, thereby making it impossible to interpret inflation persistence as intrinsic. The numerical evaluation shows that the increasing hazard function leads to hump-shaped impulse responses of inflation to monetary shocks, and output leads inflation.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2009,030

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Aggregative Models: Keynes; Keynesian; Post-Keynesian ; Price Level; Inflation; Deflation
• Thema: Hazard function ; Weibull distribution ; New Keynesian Phillips Curve ; New-Keynesian Phillips Curve ; Statistische Bestandsanalyse ; Preisrigidität ; Theorie ; Inflation ; Lag-Modell ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Yao, Fang
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/39303
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ