기업의 정보경직적 행태에 따른 증폭효과 고찰
Amplification Effects of Firms' Passive Behavior on the Adjustment of Information Sets
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본고는 주택과 비내구재가 포함된 DSGE 모형을 바탕으로 기업이 가격과 정보(기대) 갱신에 경직적인 행태를 보일 때 소비나 투자 등 주요 거시변수들에나타난 외부충격 효과를 분석하였다. 특히 정보경직성의 구체적인 역할 규명을위해 가격 및 정보경직성 모형과 가격경직성 모형의 충격반응 차이를 증폭효과라 정의하고 변수별로 이를 비교하였는데 주택선호 충격에 대해서는 양(+)의증폭효과를, 주택생산기술 충격과 통화정책 충격에 대해서는 음(-)의 증폭효과를관찰하였다. 이는 정보경직성이 주택과 비내구재 간 상대가격 차이를 키워실물변수의 반응 폭을 확대시킨 결과로 해석이 가능하다. 한편, 데이터의 한계분포에 대한 추정치를 비교함으로써 가격경직성과 정보 경직성을 동시에 가정한모형이 가격경직성만을 가정한 모형에 비해 현실 설명력 측면에서 우월함을확인할 수 있었다.
Abstract
This study explores the responses of macro variables to exogenous shocks when firms are reluctant to adjust prices and information sets. The differences of impulse responses between price and information stickiness model and price stickiness counterpart are defined as amplification effects. Results suggest a positive sign for the house preference shock and a negative one for house technology and monetary shock, respectively. This implies that firms’ passive behavior toward information correction instigates relative house prices, resulting in volatile variables in the real sector. Moreover, the dual stickiness model is dominant over the price stickiness one accounting real data.
참고문헌 (31)
- "Dynare User Guide", ~
- Uhlig, H., "Computational Methods For The Study Of Dynamic Economies", pp.30~61 (1999), Oxford University Press
- Williamson, S. D., "Macroeconomics" (2011)
- “Do Flexible Durable Goods Prices Undermine Sticky Price Models?”, "Barsky, R. B.", NBER, ~, pp.9832 (2003)
- Barsky, R. B., "Sticky-Price Models and Durable Goods", American Economic Review, 97(3), pp.984~998 (2007)
- Bils, M., "Some Evidence on the Importance of Sticky Prices", Journal of Political Economy, 112(5), pp.947~985 (2004)
- Bouakez, H., "The Transmission of Monetary Policy in a Multisector Economy", International Economic Review, 50(4), pp.1243~1266 (2009)
- Coibion, O., "Testing the Sticky Information Phillips Curve", The Review of Economics and Statistics, 92(1), pp.87~101 (2010)
- Coibion, O., "What Can Survey Forecasts Tell Us about Information Rigidities?", Journal of Political Economy, 120(1), pp.116~159 (2012)
- Dupor, B., "Integrating Sticky Prices and Sticky Information", The Review of Economics and Statistics, 92(3), pp.657~669 (2010)
- Davis, M. A., "Housing and the Business Cycle", International Economic Review, 46(3), pp.751~784 (2005)
- Fernandez-Villaverde, J., "Comparing Dynamic Equilibrium Models to Data : A Bayesian Approach", Journal of Econometrics, 123, pp.153~187 (2004)
- Iacoviello, M., "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle", American Economic Review, 95(3), pp.739~764 (2005)
- Iacoviello, M., "Housing Market Spillovers : Evidence from an Estimated DSGE Model", American Economic Journal : Macroeconomics, 2, pp.125~164 (2010)
- Khan, H., "Estimates of the Sticky-Information Phillips Curve for the United States", Journal of Money, Credit and Banking, 38(1), pp.195~207 (2006)
- Kiley, M. T., "A Quantitative Comparison of Sticky-Price and Sticky-Information Models of Price Setting", Journal of Money, Credit and Banking, 39(1), pp.101~126 (2007)
- Kim, K. H., "Non-separability and sectoral comovement in a sticky price model", Journal of Economic Dynamics and Control, 37(9), pp.1715~1735 (2013)
- 김광환, "Collateral Constraints, Sticky Wages, and Monetary Policy", 시장경제연구, 43(2), pp.35~65 (2014), 서강시장경제연구소
- Kiyotaki, N., "Credit cycles", The Journal of Political Economy, 105, pp.211~248 (1997)
- Klenow, P. J., "State-Dependent or Time-Dependent Pricing : Does it Matter for Recent U. S. Inflation?", Quarterly Journal of Economics, 123(3), pp.863~904 (2008)
- Klenow, P. J., "Sticky information and sticky prices", Journal of Monetary Economics, 54, pp.79~99 (2007)
- Knotek, E. S., "A Tale of Two Rigidities : Sticky Prices in a Sticky-Information Environment", pp.06~15 (2010)
- Mankiw, N. G., "The inexorable and Mysterious Tradeoff between Inflation and Unemployment", The Economic Journal, 111(471), pp.C45~C61 (2001)
- Mankiw, N. G., "Sticky Information Versus Sticky Prices : A Proposal To Replace The New Keynesian Phillips Curve", The Quarterly Journal of Economics, 117(4), pp.1295~1328 (2002)
- Mankiw, N. G., "Pervasive Stickiness", American Economic Review, 96(2), pp.164~169 (2006)
- Sticky Information in General Equilibrium, "Mankiw, N. G.", NBER, ~, pp.12605 (2006)
- Mariger, R. P., "A Life-Cycle Constraint Model with Liquidity Constraints:Theory and Empirical Result", Econometrica, 55(3), pp.533~557 (1987)
- Monacelli, T., "New Keynesian models, durable goods, and collateral constraints", Journal of Monetary Economics, 56(2), pp.242~254 (2009)
- Nakamura, E., "Five Facts about Prices : An Evaluation of Menu Cost Models", Quarterly Journal of Economics, 123(4), pp.1415~1464 (2008)
- Sticky Information vs. Sticky Prices : A Horse Race in a DSGE Framework, "Trabandt, M.", Sveriges Riksbank, ~, pp.209 (2007)
- Wang, P., "Solving Linear Difference Systems with Lagged Expectations by a Method of Undetermined Coefficients", Federal Reserve Bank of St. Louis, (003.) (2006)