困境中的定价.pdf

1、Pricing Under DistressBoragan Aruoba1Andres Fernandez2Daniel Guzmn3Ernesto Pasten4Felipe Saffie51University of Maryland and NBER2IMF3UBC and Central Bank of Chile4Central Bank of Chile5UVA(Darden)and NBERNovember 14,2024IMF Annual Research ConferenceDisclaimer:The views expressed are those of the au

2、thors and do not necessarily represent the views of the IMF,its ExecutiveBoard,or IMF management,nor those of the Central Bank of Chile or its board members.MotivationPrice-setting behavior of firms is central in macroeconomics.Monetary policy effectiveness:The more prices adjust,the smaller the rea

3、l effects.Price setting is forward looking.Uncertainty about the future matters.Fernndez-Villaverde et al.(2011,2015)aggregate uncertainty amplifies BC fluctuationsTypical model of uncertainty:time variation in dispersion of a fundamental distribution:realization vs.anticipation.Bloom(2009):volatili

4、ty effect vs.uncertainty effectVavra(2014):Realized uncertaintymore price changesMP less effective.Literature ReviewAruoba,Fernandez,Guzman,Pasten,and SaffiePricing Under DistressIntroduction1MotivationPrice-setting behavior of firms is central in macroeconomics.Monetary policy effectiveness:The mor

5、e prices adjust,the smaller the real effects.Price setting is forward looking.Uncertainty about the future matters.Fernndez-Villaverde et al.(2011,2015)aggregate uncertainty amplifies BC fluctuationsTypical model of uncertainty:time variation in dispersion of a fundamental distribution:realization v

6、s.anticipation.Bloom(2009):volatility effect vs.uncertainty effectVavra(2014):Realized uncertaintymore price changesMP less effective.Literature ReviewAruoba,Fernandez,Guzman,Pasten,and SaffiePricing Under DistressIntroduction1MotivationPrice-setting behavior of firms is central in macroeconomics.Mo