NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Juan Passadore

Einaudi Institute for Economics and Finance (EIEF)
Via Sallustiana 62, Roma
ITALY
Tel: +39 06 4792 4939

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NBER Working Papers and Publications

November 2016Are State- and Time-Dependent Models Really Different?
with Fernando Alvarez, Francesco Lippi
in NBER Macroeconomics Annual 2016, Volume 31, Martin Eichenbaum and Jonathan A. Parker, editors
Yes, but only for large monetary shocks. In particular, we show that in a broad class of models where shocks have continuous paths, the propagation of a monetary impulse is independent of the nature of the sticky price friction when shocks are small. The propagation of large shocks instead depends on the nature of the friction: the impulse response of inflation to monetary shocks is independent of the shock size in time-dependent models, while it is non-linear in state-dependent models. We use data on exchange rate devaluations and inflation for a panel of countries over 1974-2014 to test for the presence of state dependent decision rules. We present some evidence of a non-linear effect of exchange rate changes on prices in a sample of flexible-exchange rate countries with low inflation. W...
June 2016Are State and Time Dependent Models Really Different?
with Fernando E. Alvarez, Francesco Lippi: w22361
Yes, but only for large monetary shocks. In particular, we show that in a broad class of models where shocks have continuous paths, the propagation of a monetary impulse is independent of the nature of the sticky price friction when shocks are small. The propagation of large shocks instead depends on the nature of the friction: the impulse response of inflation to monetary shocks is independent of the shock size in time-dependent models, while it is non-linear in state-dependent models. We use data on exchange rate devaluations and inflation for a panel of countries over 1974-2014 to test for the presence of state dependent decision rules. We present some evidence of a non-linear effect of exchange rate changes on prices in a sample of flexible-exchange rate countries with low inflation. W...

Published: Are State- and Time-Dependent Models Really Different?, Fernando Alvarez, Francesco Lippi, Juan Passadore. in NBER Macroeconomics Annual 2016, Volume 31, Eichenbaum and Parker. 2017

 
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