In: Ekonomický časopis/Journal of Economics, vol. 64, no. 10
Paweł Baranowski - Mariusz Górajski - Maciej Malaczewski - Grzegorz Szafrański
Details:
Year, pages: 2016, 937 - 957
Keywords:
state-dependent price stickiness, Bayesian estimation, menu costs, Phillips curve, New-Keynesian DSGE
JEL Classification: C51, E31, E32, E52
Article type: Vedecký / Article
About article:
We investigate the short-term dynamics of the Polish economy by means of a small-scale DSGE model with stochastic menu costs. We compare macroeconomic evidence of price rigidity in a model with the state-dependent Phillips curve to a benchmark model with a conventional time-dependent price stickiness. With a moderate 2.3% upper boundary on menu costs the estimated state-dependent pricing model for Poland indicates a median duration of prices about 14 months, whereas the same measure of price stickiness in the time-dependent pricing model is 3 months shorter. The result from the state-dependent pricing model estimated from macro data is closer to, both, micro-price evidence, and surveys on frequency of price changes in Poland. The difference is explained by a selection effect being present in the model with state-dependent price stickiness, only. It yields more intense and impact price adjustment after a monetary policy shock.
We investigate the short-term dynamics of the Polish economy by means of a small-scale DSGE model with stochastic menu costs. We compare macroeconomic evidence of price rigidity in a model with the state-dependent Phillips curve to a benchmark model with a conventional time-dependent price stickiness. With a moderate 2.3% upper boundary on menu costs the estimated state-dependent pricing model for Poland indicates a median duration of prices about 14 months, whereas the same measure of price stickiness in the time-dependent pricing model is 3 months shorter. The result from the state-dependent pricing model estimated from macro data is closer to, both, micro-price evidence, and surveys on frequency of price changes in Poland. The difference is explained by a selection effect being present in the model with state-dependent price stickiness, only. It yields more intense and impact price adjustment after a monetary policy shock.
How to cite:
ISO 690:
Baranowski, P., Górajski, M., Malaczewski, M., Szafrański, G. 2016. Inflation in Poland under State-Dependent Pricing. In Ekonomický časopis/Journal of Economics, vol. 64, no.10, pp. 937-957. 0013-3035.
APA:
Baranowski, P., Górajski, M., Malaczewski, M., Szafrański, G. (2016). Inflation in Poland under State-Dependent Pricing. Ekonomický časopis/Journal of Economics, 64(10), 937-957. 0013-3035.