Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach

Identication of New Keynesian Phillips Curves from a Global Perspective

This paper is concerned with the estimation of New Keynesian Phillips Curves (NKPC) and focusses on two issues: the weak instrument problem and the characterisation of the steady states. It proposes some solutions from a global perspective. Using a global vector autoregressive model (GVAR) steady states are estimated as long-horizon expectations and valid instruments are constructed from the gl...

Identification of New Keynesian Phillips Curves from a Global Perspective

Identification of New Keynesian Phillips Curves from a Global Perspective New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check identification requires spec...

Issues in Estimating New-Keynesian Phillips Curves in the Presence of Unknown Structural Change

Structural change has been conjectured to lead to an upward bias in the estimated forward expectations coefficient in New-Keynesian Phillips curves. We present a simple New-Keynesian model that enables us to assess this proposition. In particular, we investigate the issue of upward bias in the estimated coefficients of the expectations variable in the New-Keynesian Phillips curve based on a mod...

Estimating the New Keynesian Phillips Curve: A Vertical Production Chain Approach

Identifying the New Keynesian Phillips Curve

Phillips curves are central to discussions of inflation dynamics and monetary policy. New Keynesian Phillips curves describe how past inflation, expected future inflation, and a measure of real marginal cost or an output gap drive the current inflation rate. This paper studies the (potential) weak identification of these curves under generalized methods of moments (GMM) and traces this syndrome...