Calvo vs. Rotemberg in a Trend Inflation World - Wiwi Uni-Frankfurt

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P osterior Mean [5th pct; 95th pct] P aram: Description P rior Distr: P rior Mean (St:dev:) Rotemb: =0 Calvo Rotemb: Calvo =0 NK =1 0:00 [ ] 0:00 [ ] 0:38 0:15 1:00 [ ] Indexation Beta 0:50 [0:03;0:72] [0:00;0:34] (0:285) 0:65 0:70 0:59 0:66 0:46 Calvo Beta 0:50 [0:58;0:72] [0:63;0:77] [0:48;0:70] [0:56;0:76] [0:37;0:54] (0:15) 2:23 2:43 2:25 2:38 2:21 Risk aversion Normal 2:50 [1:83;2:62] [2:01;2:83] [1:85;2:67] [1:97;2:81] [1:80;2:61] (0:25) 0:96 0:95 0:95 0:94 0:94 [0:92;1:00] [0:89;1:00] [0:90;1:00] [0:89;1:00] [0:89;1:00] (0:285) y Euler eq. f. look. Beta 0:50 3:46 3:31 3:39 3:32 3:36 T. rule in‡ation Normal 2:00 [2:90;4:00] [2:73;3:87] [2:85;3:96] [2:75;3:87] [2:79;3:88] (0:50) 0:13 0:14 0:13 0:14 0:13 y T. rule output Gamma 0:125 [0:05;0:21] [0:06;0:23] [0:05;0:21] [0:06;0:22] [0:05;0:20] (0:05) 0:75 0:78 0:75 0:77 0:75 i T. rule smooth. Beta 0:50 [0:69;0:82] [0:73;0:84] [0:69;0:82] [0:71;0:84] [0:68;0:83] (0:285) 0:98 0:97 0:97 0:97 0:97 [0:96;0:99] [0:95;0:99] [0:95;0:99] [0:95;0:99] [0:94;0:99] (0:05) a Tech. shock pers. Gamma 0:90 32 0:37 0:42 0:41 0:42 0:42 [0:30;0:47] [0:31;0:53] [0:30;0:52] [0:32;0:54] [0:31;0:53] (0:15) m M. pol. shock pers. Beta 0:50 0:91 0:89 0:90 0:90 0:91 [0:87;0:96] [0:84;0:94] [0:87;0:95] [0:85;0:95] [0:87;0:96] (0:05) g IS shock pers. Gamma 0:90 0:0087 0:0094 0:0087 0:0092 0:0084 a Tech. shock std IGamma 0:005 [0:0070;0:0103] [0:0075;0:0113] [0:0070;0:0105] [0:0095;0:0111] [0:0067;0:0101] (2:00) 0:0020 0:0018 0:0020 0:0019 0:0020 m M. pol. shock std IGamma 0:005 [0:0016;0:0025] [0:0014;0:0022] [0:0015;0:0025] [0:0014;0:0023] [0:0015;0:0025] (2:00) 0:0008 0:0009 0:0008 0:0009 0:0009 g IS shock std IGamma 0:005 [0:0007;0:0010] [0:0007;0:0011] [0:0007;0:0010] [0:0007;0:0011] [0:0007;0:0011] (2:00) Marg:Lik: 37:54 32:97 35:57 31:29 36:53 Table 1: Priors and posteriors for structural parameters. Models estimated under a 2.5 per cent trend in‡ation net rate (yearly rate, percentualized) and indexation to past in‡ation. The Table reports the posterior means and the [5th,95th] percentiles. The Marginal Likelihood are computed with the modi…ed harmonic mean estimator by Geweke (1998). Details on the model estimation are reported in the text.
350 300 250 200 150 100 50 0 1 0.5 0 0.5 1 1.5 Figure 2: Indexation: Di¤erence between densities. Green vertical line: zero line. Red dotted vertical lines: 25th and 75th percentiles. 33
Page 1 and 2: Calvo vs. Rotemberg in a Trend In
Page 3 and 4: in‡ation to 1984:I-2008:II U.S. m
Page 5 and 6: constant trend in‡ation for the p
Page 7 and 8: h R 1 0 " 1 " Y i;t di i " " 1 to Y
Page 9 and 10: adjusted by a (geometric) combinati
Page 11 and 12: the steady-state, trend in‡ation
Page 13 and 14: as well as the coe¢ cient of real
Page 15 and 16: espect to its long run trend y obs
Page 17 and 18: models, which are log-linearized ar
Page 19 and 20: the Calvo models (unrestricted) rea
Page 21 and 22: sions have been drawn by relying on
Page 23 and 24: The stark di¤erence in the determi
Page 25 and 26: in‡ation on the convolutions of t
Page 27 and 28: All in all, this paper o¤ers suppo
Page 29 and 30: Goodfriend, M., and R. G. King (200
Page 31: 6 4 2 χ 0 0 0.2 0.4 0.6 0.8 1 10 5
Page 35: 1 0.5 0 Inflation vs. price dispers

Calvo vs. Rotemberg in a Trend Inflation World - Wiwi Uni-Frankfurt

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