Great recession and the informational shifts: new evidence from sticky information Phillips curve

摘要

We utilize the nonlinear least squares (NLLS) and seemingly unrelated regression (SUR) techniques to estimate information stickiness parameter lambda for the USA. We find that lambda values appeared in a somewhat humped shape or inverted U pattern during the financial crisis. Prior to the financial crisis (1978.Q1-2006.Q4), lambda was around 0.3. However, when the sample is extended to include the financial crisis period (1978.Q1-2011.Q4), lambda increased to around 0.6. Results imply that during the financial crisis many firms became flexible and efficient and used updated information to set optimal prices.