Non-separability and sectoral comovement in a sticky price model

Kwang Hwan Kim*, Munechika Katayama

*この研究の対応する著者

研究成果: Article査読

11 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1715-1735
ページ数21
ジャーナルJournal of Economic Dynamics and Control
37
9
DOI
出版ステータスPublished - 2013 9 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学
  • 制御と最適化
  • 応用数学

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