全球智库信息集成服务系统(G2TT): DP16998 Price Setting with Strategic Complementarities as a Mean Field Game

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP16998
	DP16998 Price Setting with Strategic Complementarities as a Mean Field Game
	Francesco Lippi; Fernando Alvarez; Panagiotis Souganidis
发表日期	2022-02-03
出版年	2022
语种	英语
摘要	We study the propagation of monetary shocks in a sticky-price general-equilibrium economy where firms set prices subject to strategic complementarities with the decision of other firms. In the dynamic equilibrium the firm’s price-setting decisions depend on aggregates, which in turn depend on firms’ decisions. We cast this fixed-point problem as a Mean Field Game (MFG) and establish several analytic results. We study existence and uniqueness of the equilibrium and analytically characterize the impulse response function (IRF) of output following an aggregate “MIT” shock. We prove that strategic complementarities make the IRF larger at each horizon, in a convex fashion. We establish that complementarities may give rise to a non-monotone IRF, with a hump-shaped profile. As the complementarity becomes large enough the IRF diverges and at a critical point there is no equilibrium. Finally, we show that the amplification effect of the strategic interactions is similar across models. For instance, the Calvo model and the Golosov-Lucas model display a comparable amplification, in spite of the fact that the non-neutrality in Calvo is much larger.
主题	International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词	Monetary economics Sticky prices Strategic complementarities Dynamic equilibria Mean field games Singular stochastic control
URL	https://cepr.org/publications/dp16998
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/545944
推荐引用方式 GB/T 7714	Francesco Lippi,Fernando Alvarez,Panagiotis Souganidis. DP16998 Price Setting with Strategic Complementarities as a Mean Field Game. 2022.