Mototsugu Shintani

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We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a major source of aggregate fluctuations. For this purpose, we extend a dynamic stochastic general equilibrium model, à la Christiano, Eichenbaum, and Evans (2005), by allowing news shocks on the total factor productivity and estimate the model using Bayesian methods.(More)
We study the dynamics of good-by-good real exchange rates using a micro-panel of 270 goods prices drawn from major cities in 71 countries and 245 goods prices drawn from 13 major U.S. cities. We Þnd half-lives of deviations from the Law-of-One-Price for the average good is about 1 year; somewhat lower for U.S. cities and somewhat higher for cities in the(More)
A positive Lyapunov exponent is one practical deÞnition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. When our procedures are applied to international real output series, the hypothesis of the positive Lyapunov exponent is signiÞcantly rejected in(More)
We revisit a foundational theoretical paper in the menu cost literature, Sheshinski and Weiss (1983), one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, we find that optimal pricing in this environment entails using different (s, S) bands in high-inflation and low-inflation states of the(More)
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical studies. This paper proposes a simple nonparametric procedure(More)
A long-standing puzzle in open economy macroeconomics is the fact that prices of the same good across countries, expressed in the same currency, differ widely and persistently over the business cycle. The observed deviations from the law of one price hold even for individual goods that are actively traded internationally, and even in the absence of tariffs(More)
This paper investigates the relationship between the exchange rate passthrough (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well-approximated by a class of smooth transition autoregressive (STAR) models with inflation being a transition(More)