Price Setting with Strategic Complementarities as a Mean Field Game

主讲人：Francesco Lippi (LUISS University and EIEF)

时间：2021年11月18日 下午3:00 – 4:30

加入Zoom会议：https://zoom.us/j/92806367691?pwd=TmRkVHlSWVhCNnF5ZU5nd244KzRiQT09

会议号：928 0636 7691

密码：478731

摘要：We analyze the impulse response of output after a monetary shock in a general equilibrium setup where firms set prices subject to adjustment costs and feature strategic complementarities with the decision of other firms. The firm's decision problem and the aggregate outcomes are cast as a Mean Field Game (MFG) and several analytical results are established. First, in a canonical menu cost setup featuring an Ss rule the MFG framework allows us to study the effect of strategic complementarity/substitutability on the firm's optimal Ss rules after the shock. We establish existence and uniqueness of the perturbed equilibrium (as long as the strategic complementarity is not too large) and analytically characterize the impulse response function (IRF) of output. We show that the presence of the strategic complementarity makes the IRF larger at each horizon. On the one hand, as the complementarity becomes large enough, the IRF diverges and at a critical point there is no equilibrium. On the other hand, as substitutability becomes arbitrarily large, the IRF converges to zero. Second, we extend the results to the Calvo+ model, where we show that the cumulative impulse response is approximately proportional to the one without strategic complementarity.

主讲人简介：Francesco Lippi is Professor of Economics at LUISS University and a research fellow of the EIEF and CEPR. His academic interests are on macroeconomic dynamics, time series and monetary economics. His work has been published in leading journals, including the American Economic Review, Econometrica, Quarterly Journal of Economics, Review of Economic Studies and many other journals. He is currently the Editor in Chief of the Economic Journal.