Great Recession and Information Stickiness: Evidence from Sticky Information Phillips Curve
Great Recession and Information Stickiness: Evidence from Sticky Information Phillips Curve
Date
2020-03-10
Authors
Kumar, S
Supervisor
Item type
Journal Article
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Volume Title
Publisher
Taylor & Francis (Routledge)
Abstract
We utilize the nonlinear least squares (NLLS) and seemingly unrelated regression (SUR) techniques to estimate information stickiness parameter λ for the USA. We find that λ values appeared in a somewhat humped shape or inverted U pattern during the financial crisis. Prior to the financial crisis (1978.Q1-2006.Q4), λ was around 0.3. However, when the sample is extended to include the financial crisis period (1978.Q1-2011.Q4), λ increased to around 0.6. Results imply that during the financial crisis many firms became flexible and efficient and used updated information to set optimal prices.
Description
Keywords
Financial crisis; Sticky information Phillips curve; Stickiness parameter
Source
Applied Economics Letters, 27(1), 1-4.
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