Abstract
This article studies how to employ aggregate data to estimate sectoral price stickiness, which is described by the Calvo-style price setting. We find that sectoral price stickiness cannot be effectively estimated by the Bayesian approach of the multi-sector new Keynesian model that is used in Carvalho and Dam (2010). Then, we propose a structural GMM estimation of sectoral new Keynesian Phillips curves to obtain sectoral price stickiness and the results are well consistent with the available microeconomic evidence on price setting.
keywords：sectoral price stickiness sectoral new Keynesian Phillips curve aggregate data GMM Bayesian approach
(原文刊于Romanian Journal of Economic Forecasting 2014年17卷，第2期)