Customer markets and the real effects of monetary policy shocks [Elektronische Ressource] / vorgelegt von Nikolay Hristov

Informations

• Publié par: universitat_augsburg
• Publié le: 01 janvier 2008
• Nombre de lectures: 15
• Langue: English
• Poids de l'ouvrage: 2 Mo

Extrait

1
Customer Markets and the Real Effects of Monetary Policy Shocks
Inauguraldissertation
zur
Erlangung des Doktorgrades
der Wirtschaftswissenschaftlichen Fakultät
der Universität Augsburg
vorgelegt von
Nikolay Hristov
Augsburg, im Dezember 2008
Erstgutachter: Prof. Dr. Alfred Maußner (Universität Augsburg)
Zweitgutachter: Prof. Dr. Andreas Schabert (Technische Universität Dortund)
Vorsitzender der mündlichen Prüfung: Prof. Dr. Fritz Rahmeyer (Universität Augsburg)
Datum der mündlichen Prüfung: 25.03.20092Contents
1 Introduction 7
1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2 Impulse Responses to Monetary Policy Shocks . . . . . . . . . . . . . . . . . 9
2.1 The SVAR-Approach . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2 Long-Run Restrictions . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.3 The Non-Econometric Approach . . . . . . . . . . . . . . . . . . . . 21
2.4 Summary of the Results . . . . . . . . . . . . . . . . . . . . . . . . 22
2.5 Critique of the VAR Approach . . . . . . . . . . . . . . . . . . . . . 24
3 Evidence on the Frequency and Size of Price Adjustments . . . . . . . . . . 25
4 The Cyclical Behavior of Markups . . . . . . . . . . . . . . . . . . . . . . . 28
5 The Standard New Keynesian Model with Calvo Price Setting . . . . . . . . 34
5.1 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
5.2 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
5.3 Further Critique of the New Keynesian Model with Calvo Pricing . . 42
6 Related Theoretical Studies . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
2 A Monetary Customer Markets Model 49
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2 A Model with Fixed Capital and Static Monopolistic Competition . . . . . . 51
2.1 The Theoretical Framework . . . . . . . . . . . . . . . . . . . . . . 51
2.2 Understanding Key Features of the Model . . . . . . . . . . . . . . . 55
3 A Model with Fixed Capital and Market Share Competition . . . . . . . . . . 60
3.1 The Theoretical Framework . . . . . . . . . . . . . . . . . . . . . . 60
3.2 Understanding Key Features of the Model . . . . . . . . . . . . . . . 63
4 Capital Accumulation and Static Monopolistic Competition . . . . . . . . . . 67
4.1 The Theoretical Framework . . . . . . . . . . . . . . . . . . . . . . 67
4.2 Understanding Key Features of the Model . . . . . . . . . . . . . . . 68
5 Capital Accumulation and Market Share Competition . . . . . . . . . . . . . 69
5.1 The Theoretical Framework . . . . . . . . . . . . . . . . . . . . . . 69
34 CONTENTS
5.2 Understanding Key Features of the Model . . . . . . . . . . . . . . . 70
5.3 A Customer Markets Model with Adjustment Costs of Capital . . . . 73
6 Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
7 Business Cycles Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
8 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
9 Supplement to Chapter 2: Market Share Competition . . . . . . . . . . . . . 93
3 Inflation Aversion and Monetary Policy 95
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
2 Inflation Aversion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
3 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
3.1 Theoretical Framework . . . . . . . . . . . . . . . . . . . . . . . . . 100
3.2 Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
3.3 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
3.4 Summary of the Results . . . . . . . . . . . . . . . . . . . . . . . . 118
4 Capital Accumulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
4.1 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
4.2 Impulse Responses to Monetary Shocks . . . . . . . . . . . . . . . . 121
4.3 Adjustment Costs of Capital . . . . . . . . . . . . . . . . . . . . . . 125
5 A Comparison with the New Keynesian Model . . . . . . . . . . . . . . . . . 130
6 Supplement to Section 3. Understanding Key Features of the Model . . . . . 132
6.1 Only Search Activity . . . . . . . . . . . . . . . . . . . . . . . . . . 132
6.2 Only Market Share Competition . . . . . . . . . . . . . . . . . . . . 144
6.3 Market Share Competition And Search Activity Depending on Con-
sumption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
4 GMM Estimation 157
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
2 GMM-Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
2.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
2.2 Reparameterizations of the Model . . . . . . . . . . . . . . . . . . . 167
2.3 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
3 Business Cycles Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181
4 A Comparison with the New Keynesian Model . . . . . . . . . . . . . . . . . 186
5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187
5 Price Dispersion, Search and Monetary Policy 189
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
2 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190CONTENTS 5
3 Technical Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
4 Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204
5 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
5.1 Monetary Shocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
5.2 Technology Shocks . . . . . . . . . . . . . . . . . . . . . . . . . . . 212
6 Capital Accumulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
6.1 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
6.2 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
7 Shopping-Time Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
7.1 A Standard Shopping-Time Model . . . . . . . . . . . . . . . . . . . 221
7.2 Shopping-Time and Market Share Competition I . . . . . . . . . . . 222
7.3 and Market Share II . . . . . . . . . . . 225
7.4 Steady State and Calibration . . . . . . . . . . . . . . . . . . . . . . 226
8 Supplement to Chapter V . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
6 Conclusion 229
A New Keynesian Model 243
1 A Model with Fixed Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
2 A Model with Endogenous Capital . . . . . . . . . . . . . . . . . . . . . . . 245
3 Adjustment Costs of Capital . . . . . . . . . . . . . . . . . . . . . . . . . . 246
B Chapter 2 249
1 A Model with Fixed Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
2 A Model with Endogenous Capital . . . . . . . . . . . . . . . . . . . . . . . 251
3 Adjustment Costs of Capital . . . . . . . . . . . . . . . . . . . . . . . . . . 252
C Chapter 3 255
1 A Model with Fixed Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
2 A Model with Endogenous Capital . . . . . . . . . . . . . . . . . . . . . . . 257
3 Adjustment Costs of Capital . . . . . . . . . . . . . . . . . . . . . . . . . . 258
D Chapter 5 261
1 A Model with Fixed Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . 261
2 A Model with Endogenous Capital . . . . . . . . . . . . . . . . . . . . . . . 264
3 A Shopping-Time Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2666 CONTENTSChapter 1
Introduction
1 Motivation
InaninterviewintheEconomicDynamicsForumgivenin2004PatrickKehoesharplycriticizes
existing sticky price models and points out their inability to account for the persistence
observable in the data. He argues that the persistence generated by that models is due solely
to the exogenously imposed unrealistically high degree of price stickiness, not consistent with
the empirical observations. Kehoe summarizes his critique as follows:
”...Currently I see a large number of economists writing papers that take the existing sticky price
models as they stand and tries to use them to address a number of issues, especially policy issues. I
think that this is not a productive use of time. A better use of time for the sticky price enthusiasts
is to go back to the drawing board and dream up another version of the model that has a chance at
generating the patterns observed in the Great Depression. Doing so may be difficult, but the payoff
is worth it.”
There is substantial empirical evidence indicating that that monetary shocks induce highly
persistent dynamic responses of inflation, output, consumption and investment, although
nominal prices are very flexible, being adjusted every four months on average. As I show
below, if a standard New Keynesian model is calibrated to match the most recent evidence
on the frequency of price adjustment, it looses its ability to account for the persistence and
the magnitude of the impulse responses to monetary policy shocks observable in the data.
In addition, the implica