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Adjustment is Much Slower than You Think AgEcon
Caballero, Ricardo J.; Engel, Eduardo M.R.A..
In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating the speed of adjustment of such variables with partial-adjustment ARMA procedures substantially overestimates this speed. For example, for the target federal funds rate, we find that the actual response to shocks is less than half as fast as the estimated response. For investment, labor demand and prices, the speed of adjustment inferred from aggregates of a small number of agents is likely to be close to instantaneous. While aggregating across microeconomic units...
Tipo: Working or Discussion Paper Palavras-chave: Speed of adjustment; Discrete adjustment; Lumpy adjustment; Aggregation; Calvo model; ARMA process; Partial adjustment; Expected response time; Monetary policy; Investment; Labor demand; Sticky prices; Idiosyncratic shocks; Impulse response function; Wold representation; Time-to-build; Financial Economics; C22; C43; D2; E2; E5.
Ano: 2003 URL: http://purl.umn.edu/28419
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Three Strikes and You're Out: Reply to Cooper and Willis AgEcon
Caballero, Ricardo J.; Engel, Eduardo M.R.A..
Cooper and Willis (2003) is the latest in a sequence of criticisms of our methodology for estimating aggregate nonlinearities when microeconomic adjustment is lumpy. Their case is based on “reproducing” our main findings using artificial data generated by a model where microeconomic agents face quadratic adjustment costs. That is, they supposedly find our results where they should not be found. The three claims on which they base their case are incorrect. Their mistakes range from misinterpreting their own simulation results to failing to understand the context in which our procedures should be applied. They also claim that our approach assumes that employment decisions depend on the gap between the target and current level of unemployment. This is...
Tipo: Working or Discussion Paper Palavras-chave: Adjustment hazard; Aggregate nonlinearities; Lumpy adjustment; Observed and unobserved gaps; Quadratic adjustment; Research Methods/ Statistical Methods; E2; J2; J6.
Ano: 2004 URL: http://purl.umn.edu/28498
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