Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve
نویسندگان
چکیده
منابع مشابه
Estimation and Inference by the Method of Projection Minimum Distance : An Application to the New Keynesian Hybrid Phillips Curve
In most macroeconomic models, the stability of the solution path implies that the system is covariancestationary and hence admits a Wold representation. The ability to estimate this Wold representation semi-parametrically by local projections (Jordà, 2005), even when the process for the solution path is unknown or unconventional, can be exploited to estimate the model’s parameters by minimum di...
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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...
متن کاملIntroduction to the New Keynesian Phillips Curve
I n most industrialized economies inflation tends to be pro-cyclical; that is, inflation is high during times of high economic activity. When economic activity is measured by the unemployment rate this statistical relationship is known as the Phillips curve. The Phillips curve is sometimes viewed as a menu for monetary policymakers, that is, they can choose between high inflation and low unempl...
متن کاملInflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis
In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rationalexpectations assumption, and a modification to the latter which consists in using survey data on inflation exp...
متن کاملPolicy Implications of the New Keynesian Phillips Curve
T he theoretical framework within which optimal monetary policy was studied before the arrival of the New Keynesian Phillips curve (NKPC), but after economists had become comfortable using dynamic, optimizing, general equilibrium models and a welfare-maximizing criterion for policy analysis, was one in which the central source of nominal nonneutrality was a demand for money. At center stage in ...
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ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2010
ISSN: 0022-2879,1538-4616
DOI: 10.1111/j.1538-4616.2009.00295.x