برنامهریزی و بودجه (Dec 2022)
Comparative Study of Phillips Curve under Dual-stickiness Model Considering Heterogeneity in Iran\'s Economy
Abstract
The trade-off between inflation and the output gap is different under each of the specifications of the Phillips curve, and therefore the optimal monetary policy will be different based on the assumption of each of these specifications. Considering the importance of the issue, and in order to identify the Phillips curve compatible with the stylized facts in the Iranian economy, by implementing the framework of the Dynamic Stochastic General Equilibrium (DSGE) model and Bayesian analysis, a wide range of pricing models including sticky information, Dual-stickiness, generalized Calvo, multi-sector and hybrid models have been compared and evaluated. To compare different pricing models in this study, four criteria have been applied: comparing the posterior probability of the models, comparing the moments of the simulated data of the model with real data, comparing the autocorrelation of the real inflation rate with the median of the posterior distribution of each of the models, and examining the impulse response functions. According to the results, the Phillips curve under Dual Stickiness is more consistent and compatible with the stylized facts in Iran's economy, compared with other Phillips specifications. In specifying the Phillips curve under Dual Stickiness, in addition to the expected inflation component, the lag of inflation also appears endogenous (due to the simultaneous assumption of two types of price and information stickiness).
