An Empirical Analysis of Business Cycles in a New Keynesian Model with Inventories

An Empirical Analysis of Business Cycles in a New Keynesian Model with Inventories

This paper introduces inventories in an otherwise standard dynamic stochastic general equilibrium model. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. Based on U.S. data we estimate the parameters of our model using Ba...

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Detaylı Bibliyografya
Yayımlandı:MAGKS - Joint Discussion Paper Series in Economics (Band 13-2014)
Yazar: Foerster, Marcel
Materyal Türü: Makale
Dil:İngilizce
Baskı/Yayın Bilgisi: Philipps-Universität Marburg 2014
Konular:
Business Cycles
Bayesian Estimation
Wirtschaft
Inventories
DSGE Model
Economics
Online Erişim:PDF Tam Metin
Etiketler: Etiketle
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Özet:This paper introduces inventories in an otherwise standard dynamic stochastic general equilibrium model. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. Based on U.S. data we estimate the parameters of our model using Bayesian methods. The results show that accounting for inventory dynamics has a significant impact on parameter estimates and the following analyses. We find that inventories enter the New Keynesian Phillips curve as an additional and significant driving variable and make the inflation process less backward-looking. Moreover, impulse responses can change in terms of magnitude and persistence. The variance decomposition reveals substantial changes regarding the driving forces of inflation and the nominal interest rate when we consider inventory holding.
Fiziksel Özellikler:50 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0315

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