English, Article, Journal or magazine article edition: Non-constant Hazard Function and Inflation Dynamics Fang Yao

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  • preprint
Language
  • English

Edition details

Title
  • Non-constant Hazard Function and Inflation Dynamics
Author
  • Fang Yao
Physical Description
  • preprint
Notes
  • This paper explores implications of nominal rigidity characterized by a non-constant hazard function for aggregate dynamics. I derive the NKPC under an arbitrary hazard function and parameterize it with the Weibull duration model. The resulting Phillips curve involves lagged inflation and lagged expectations. It nests the Calvo NKPC as a limiting case in the sense that the effects of both terms are canceled out under the constant-hazard assumption. Furthermore, I find lagged inflation always has negative coefficients, thereby making it impossible to interpret inflation persistence as intrinsic. The numerical evaluation shows that the increasing hazard function leads to hump-shaped impulse responses of ination to monetary shocks, and output leads inflation.
  • Hazard function, Weibull distribution, New Keynesian Phillips Curve
  • RePEc:hum:wpaper:sfb649dp2009-030
Language
  • English
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