The role of search frictions for output and inflation dynamics: a Bayesian assessment

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dc.contributor.author Menner, Martin
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2007-09-10T12:10:02Z
dc.date.available 2007-09-10T12:10:02Z
dc.date.issued 2007-09
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/939
dc.description.abstract Search frictions in the goods market have proven to be a fruitful deviation from the fiction of a centralized Walrasian market providing a micro-foundation of the use of money as a medium of exchange. Moreover, persistent propagation of monetary shocks can arise in search-theoretic monetary models through the interaction of search-frictions in the goods and labor markets, and inventory holdings. Here, a search-theoretic monetary DSGE model with capital and inventory investment is estimated, and its implications on output and inflation dynamics are contrasted with those of standard flexible price monetary models: a cash-in-advance and a portfolio adjustment cost model. Model estimation and comparison is conducted in a Bayesian way in order to account for possible model misspecification. The search model can track inflation and output data better, as well as it dominates the other models in the ability to predict the autocorrelations of inflation and the persistent disinflation process after a technology shock. It generates a hump-shaped but not strong enough output response to a monetary shock. Current and near current correlations between output growth inflation are predicted well.
dc.format.extent 978073 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 07-62
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Monetary search-theory
dc.subject.other Labor market search
dc.subject.other Inflation and output dynamics
dc.subject.other Bayesian estimation
dc.subject.other DSGE model
dc.title The role of search frictions for output and inflation dynamics: a Bayesian assessment
dc.type workingPaper
dc.type workingPaper
dc.subject.jel D83
dc.subject.jel E19
dc.subject.jel E32
dc.subject.jel E49
dc.subject.jel J64
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.identifier.repec we076235
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