Non-separability and sectoral comovement in a sticky price model

Kwang Hwan Kim, Munechika Katayama

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

This paper resolves the sectoral comovement problem between nondurable and durable outputs that arises in response to a monetary shock in a two-sector sticky price model with flexibly priced durable goods. We analytically demonstrate that the non-separability between aggregate consumption and labor can generate the comovement between nondurable and durable outputs in response to a monetary policy shock. We then estimate the degree of non-separability, together with other parameters, using a Bayesian approach. We find that the non-separable preferences are supported by the data and our estimated model generates the sectoral comovement in response to a monetary shock.

Original languageEnglish
Pages (from-to)1715-1735
Number of pages21
JournalJournal of Economic Dynamics and Control
Volume37
Issue number9
DOIs
Publication statusPublished - 2013 Sep
Externally publishedYes

Fingerprint

Shock
Monetary Policy
Output
Nonseparable
Personnel
Bayesian Approach
Resolve
Sector
Model
Estimate
Demonstrate
Sticky prices
Comovement
Nonseparability
Monetary shocks
Durables
Labor
Monetary policy shocks
Aggregate consumption
Bayesian approach

Keywords

  • Comovement
  • Durable goods
  • Non-separable preferences
  • Sticky price

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

Cite this

Non-separability and sectoral comovement in a sticky price model. / Kim, Kwang Hwan; Katayama, Munechika.

In: Journal of Economic Dynamics and Control, Vol. 37, No. 9, 09.2013, p. 1715-1735.

Research output: Contribution to journalArticle

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