Price Setting With Strategic Complementarities as a Mean Field Game

IF 6.6 1区 经济学 Q1 ECONOMICS
Econometrica Pub Date : 2023-12-07 DOI:10.3982/ECTA20797
Fernando Alvarez, Francesco Lippi, Panagiotis Souganidis
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Abstract

We study the propagation of monetary shocks in a sticky-price general equilibrium economy where the firms' pricing strategy features a complementarity with the decisions of other firms. In a dynamic equilibrium, the firm's price-setting decisions depend on aggregates, which in turn depend on the firms' decisions. We cast this fixed-point problem as a Mean Field Game and prove several analytic results. We establish existence and uniqueness of the equilibrium and characterize the impulse response function (IRF) of output following an aggregate shock. We prove that strategic complementarities make the IRF larger at each horizon. We establish that complementarities may give rise to an 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: 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.

Abstract Image

作为均势博弈的战略互补的价格制定
我们研究了货币冲击在粘性价格一般均衡经济中的传播,在这种经济中,企业的定价策略与其他企业的决策具有互补性。在动态均衡中,企业的定价决策取决于总量,而总量又取决于企业的决策。我们将这个定点问题视为均场博弈,并证明了几个分析结果。我们确定了均衡的存在性和唯一性,并描述了总量冲击后产出的脉冲响应函数(IRF)。我们证明了战略互补性会使 IRF 在每一水平线上都变大。我们确定,互补性可能会导致驼峰型的 IRF。当互补性变得足够大时,IRF 就会发散,在临界点就不存在均衡。最后,我们证明了战略互动的放大效应在不同模型中是相似的:卡尔沃模型和戈洛索夫-卢卡斯模型显示出相似的放大效应,尽管卡尔沃模型中的非中性程度要大得多。
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来源期刊
Econometrica
Econometrica 社会科学-数学跨学科应用
CiteScore
11.00
自引率
3.30%
发文量
75
审稿时长
6-12 weeks
期刊介绍: Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.
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