Sticky Information Versus Sticky Prices Revisited: A Bayesian VAR-GMM Approach

Several Phillips curves based on sticky information and prices are estimated compared using Bayesian VAR-GMM. This method derives expectations in each curve from a VAR estimates the parameters coefficients simultaneously. Quasi-marginal likelihood-based model comparison selects dual stickiness which, period, some remain unchanged, consistent with micro evidence. Moreover, is more plausible source of inflation inertia than other sources proposed previous studies. Sticky information, prices, unchanged period all needed to better describe dynamics.