Evaluation of Price Setting Models in Iran’ s Economy (DSGE Approach)

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HEMATY MARYAM; TAVAKOLIAN HOSSEIN

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Journal: Journal of Monetary and Banking Research Year:2019 | Volume:11 | Issue:38 Page(s): 655-698

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Title

Evaluation of Price Setting Models in Iran’ s Economy (DSGE Approach)

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HEMATY MARYAM | TAVAKOLIAN HOSSEIN | Issue Writer Certificate

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Abstract

Despite the consensus on the importance of nominal rigidities, there is no general agreement among monetary economists regarding the most appropriate and consistent pricing model that must be used to assess the effects of monetary policies in the economy. Due to the lack of empirical evidence with relation to the pricing behavior of Iranian firms, there is no general agreement on how to introduce nominal rigidities in monetary macro models (New Keynesian). In this case, choosing a pricing model is entirely arbitrary and based on the researcher’ s judgment. In the absence of an accurate understanding of the role of different pricing models in analyzing the impacts of monetary policy, we face serious challenges in policy assessment. In order to fill this gap, we compare sticky information (Mankiw and Reis, 2002), dual stickiness (Dupor et al., 2010), and Hybrid using dynamic stochastic general equilibrium (DSGE) approach. In this study, four criteria used to compare pricing models: 1) Posterior model probability comparison, 2) comparing simulated moments with those of actual data, 3) autocorrelation of inflation and 4) impulse response function. Based on the result, dual-stickiness Phillips curve (Simultaneous price and information stickiness) can match the stylized facts of Iran’ s economy in comparison to other pricing models.

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APA: Copy

HEMATY, MARYAM, & TAVAKOLIAN, HOSSEIN. (2019). Evaluation of Price Setting Models in Iran’ s Economy (DSGE Approach). JOURNAL OF MONETARY AND BANKING RESEARCHES, 11(38 ), 655-698. SID. https://sid.ir/paper/395991/en

Vancouver: Copy

HEMATY MARYAM, TAVAKOLIAN HOSSEIN. Evaluation of Price Setting Models in Iran’ s Economy (DSGE Approach). JOURNAL OF MONETARY AND BANKING RESEARCHES[Internet]. 2019;11(38 ):655-698. Available from: https://sid.ir/paper/395991/en

IEEE: Copy

MARYAM HEMATY, and HOSSEIN TAVAKOLIAN, “Evaluation of Price Setting Models in Iran’ s Economy (DSGE Approach),” JOURNAL OF MONETARY AND BANKING RESEARCHES, vol. 11, no. 38 , pp. 655–698, 2019, [Online]. Available: https://sid.ir/paper/395991/en

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