Aggregation and Optimization with State-Dependent Pricing: A Comment

Vladislav Damjanovic; Charles Nolan

doi:10.1111/j.1468-0262.2006.00672.x

Aggregation and Optimization with State-Dependent Pricing: A Comment

Vladislav Damjanovic, Charles Nolan

Research output: Contribution to journal › Article › peer-review

Abstract

A key argument in Caplin and Leahy (1997) states that the correlation between monetary shocks and output is falling in the variance of the money supply. We demonstrate that this conclusion depends on solving for the correlation in the nonstationary state of the model. In the stationary state, that correlation is initially rising.

Original language	English
Pages (from-to)	565-573
Number of pages	9
Journal	Econometrica
Volume	74
Issue number	2
DOIs	https://doi.org/10.1111/j.1468-0262.2006.00672.x
Publication status	Published - Mar 2006

Keywords

(S, s) pricing
money-output correlations
macroeconomic dynamics
OUTPUT

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10.1111/j.1468-0262.2006.00672.x

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title = "Aggregation and Optimization with State-Dependent Pricing: A Comment",

abstract = "A key argument in Caplin and Leahy (1997) states that the correlation between monetary shocks and output is falling in the variance of the money supply. We demonstrate that this conclusion depends on solving for the correlation in the nonstationary state of the model. In the stationary state, that correlation is initially rising.",

keywords = "(S, s) pricing, money-output correlations, macroeconomic dynamics, OUTPUT",

author = "Vladislav Damjanovic and Charles Nolan",

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AU - Nolan, Charles

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AB - A key argument in Caplin and Leahy (1997) states that the correlation between monetary shocks and output is falling in the variance of the money supply. We demonstrate that this conclusion depends on solving for the correlation in the nonstationary state of the model. In the stationary state, that correlation is initially rising.

KW - (S, s) pricing

KW - money-output correlations

KW - macroeconomic dynamics

KW - OUTPUT

U2 - 10.1111/j.1468-0262.2006.00672.x

DO - 10.1111/j.1468-0262.2006.00672.x

M3 - Article

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JO - Econometrica

JF - Econometrica

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ER -

Aggregation and Optimization with State-Dependent Pricing: A Comment

Abstract

Keywords

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