Replication data for: Sticky Information in General Equilibrium (doi:10.7910/DVN/EXBSQX)

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Replication data for: Sticky Information in General Equilibrium

doi:10.7910/DVN/EXBSQX

Harvard Dataverse

2008-12-17

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Ricardo Reis; N. Gregory Mankiw, 2008, "Replication data for: Sticky Information in General Equilibrium", https://doi.org/10.7910/DVN/EXBSQX, Harvard Dataverse, V1

Replication data for: Sticky Information in General Equilibrium

doi:10.7910/DVN/EXBSQX

Ricardo Reis (Columbia University)

N. Gregory Mankiw (Harvard University)

2007

Harvard Dataverse

Ricardo Reis

2007-07

2007

https://doi.org/10.7910/DVN/EXBSQX

This paper develops and analyzes a general-equilibrium model with sticky information. The only rigidity in goods, labor, and financial markets is that agents are inattentive, sporadically updating their information sets, when setting prices, wages, and consumption. After presenting the ingredients of such a model, the paper develops an algorithm to solve this class of models and uses it to study the model's dynamic properties. It then estimates the parameters of the model using U.S. data on five key macroeconomic time series. It finds that information stickiness is present in all markets, and is especially pronounced for consumers and workers. Variance decompositions show that monetary policy and aggregate demand shocks account for most of the variance of inflation, output, and hours.

<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a>

Reis, Ricardo. 2007. "Sticky Information in General Equilibrium," with N. Gregory Mankiw. Journal of the European Economic Association. April–May 5(2–3):603–613. <a href="http://www.princeton.edu/~rreis/papers/SIGE.pdf" target= "_new"> article available here </a>

Reis, Ricardo. 2007. "Sticky Information in General Equilibrium," with N. Gregory Mankiw. Journal of the European Economic Association. April–May 5(2–3):603–613. <a href="http://www.princeton.edu/~rreis/papers/SIGE.pdf" target= "_new"> article available here </a>

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MLEresults.mat

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Produced by SIGE_mle.m has the MLE results

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README.pdf

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Descriptions of the programs that solve Sticky Information General Equilibrium (SIGE) models

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SIGE.zip

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Zip file containing data for this study

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SIGEconverge.m

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Produces Brooks Gellman convergence diagnostics for MCMC chains

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SIGEdata.mat

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Data used in this paper in complex format

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SIGEirf.m

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Plots impulse response functions

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SIGElogl.m

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Evaluates value of log-likelihood function given V and Y

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SIGEloglik.m

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Evaluates log-likelihood function given the parameters

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SIGEma.m

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Solves the model for inflation, output level, nominal interest rate, real wage, hours, and output gap

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SIGEmafive.m

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Solves the model for inflation, output growth, nominal interest rate, real wage growth, hours

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SIGEmetro.m

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Metropoplis-Hastings step in MCMC

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SIGEprior.m

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Prior probability of a set of parameters

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SIGEv.m

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Computes V matrix useful in evaluating log-likelihood function

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SIGEvardec.m

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Given a set of parameters, produces predicted variance decomposition

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SIGE_Bayes.m

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Obtains 50,000 draws from Bayesian posterior of parameters

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SIGE_Bayes_vd.m

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Uses draws from Bayesian posterior of parameters, to obtain draws from Bayesian posterior of variance decompositions

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SIGE_draws.m

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Mixes draws from independent Metropolis chain and assesses convergence

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SIGE_figure1.m

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Displays figure 1 in the paper

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SIGE_mle.m

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Produces the maximum likelihood estimates

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SIGE_mle_vd.m

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Produces the maximum likelihood variance decompositions

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SIGE_Tables1.m

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Displays MLE section of Tables 1 and 2

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SIGE_Tables2.m

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Displays Prior section of Table 1

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SIGE_Tables3.m

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Displays Bayes posterior section of Tables 1 and 2

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