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Testing For A Forward Looking Phillips Curve
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Book Synopsis Testing for a Forward-Looking Phillips Curve by : Eric Jondeau
Download or read book Testing for a Forward-Looking Phillips Curve written by Eric Jondeau and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The "New Keynesian" Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether European and US inflation dynamics can be described by this model. For this purpose, we estimate hybrid Phillips curves, which include both backward and forward-looking components, for major European countries, the euro area, and the US. Estimation is performed using the GMM technique as well as the ML approach. We examine the sensitivity of the results to the choice of output gap or marginal cost as the driving variable, and test the stability of the obtained specifications. Our findings can be summarized as follows. First, in all countries, the NKPC has to be augmented by additional lags and leads of inflation, in contrast to the prediction of the core model. Second, the fraction of backward-looking price setters is large (in most cases, more than 50 percent), suggesting only limited differences between the US and the euro area. Finally, our preferred specification includes marginal cost in the case of the US and the UK, and output gap in the euro area.
Book Synopsis New Tests of the New-Keynesian Phillips Curve by : Jeremy Bay Rudd
Download or read book New Tests of the New-Keynesian Phillips Curve written by Jeremy Bay Rudd and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing the New Keynesian Phillips Curve by : Luca Bindelli
Download or read book Testing the New Keynesian Phillips Curve written by Luca Bindelli and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new test of the forward-looking Phillips curve for a panel of 10 OECD countries. Structural parameter estimates are obtained using an extremum estimation method which is applied in the frequency domain. Such an estimator has the advantage of enabling the econometrician to focus on subsets of frequencies for which the model is specifically designed. For most countries, and once we control for a lagged inflation term, we find that the majority of the price setters are backward looking. In addition, our evidence is compatible with the hypothesis that prices are adjusted according to a fixed, time invariant pricing rule.
Book Synopsis Testing the New Keynesian Phillips Curve Without Assuming Identification by :
Download or read book Testing the New Keynesian Phillips Curve Without Assuming Identification written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Is There a Phillips Curve? A Full Information Partial Equilibrium Approach by : Mr.Roberto Piazza
Download or read book Is There a Phillips Curve? A Full Information Partial Equilibrium Approach written by Mr.Roberto Piazza and published by International Monetary Fund. This book was released on 2018-03-09 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical tests of the New Keynesian Phillips Curve have provided results often inconsistent with microeconomic evidence. To overcome the pitfalls of standard estimations on aggregate data, a Full Information Partial Equilibrium approach is developed to exploit sectoral level data. A model featuring sectoral NKPCs subject to a rich set of shocks is constructed. Necessary and sufficient conditions on the structural parameters are provided to allow sectoral idiosyncratic components to be linearly extracted. Estimation biases are corrected using the model's restrictions on the partial equilibrium propagation of idiosyncratic shocks. An application to the US, Japan and the UK rejects the purely forward looking, labor cost-based NKPC.
Book Synopsis Testing the Monetary Policy Implications of the Accelerationist Phillips Curve by : Bernhard Herz
Download or read book Testing the Monetary Policy Implications of the Accelerationist Phillips Curve written by Bernhard Herz and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The issue of the backward-looking versus the forward-looking Phillips curve is still an open question in the macroeconomics profession. We identify the real output effects of monetary policy shocks as a crucial implication of the traditional Phillips curve. The backward-looking Phillips curve predicts a strict intertemporal trade-off in the case of monetary shocks: a positive short run response of output is followed by a period where output is below the baseline. The resulting cumulative output effect is exactly zero. The empirical evidence on the cumulated output effects of money are in strikingly contrast to the backward-looking model.
Book Synopsis Contracting Models of the Phillips Curve by : Pierre-Richard Agénor
Download or read book Contracting Models of the Phillips Curve written by Pierre-Richard Agénor and published by World Bank Publications. This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides empirical estimates of contracting models of the Phillips curve for four middle-income developing economies-Chile, the Republic of Korea, the Philippines, and Turkey. Following an analytical review, models with both one lead and one lag, and two lags and three leads, are then estimated using Generalized Method of Moments (GMM) techniques. The results indicate that for both Chile and Turkey past and future inflation are of about the same magnitude in affecting current inflation. In Korea past inflation has a larger impact on inflation, whereas in the Philippines it is future inflation that plays a larger role. Homogeneity restrictions are satisfied for Korea and Turkey, but not for Chile and the Philippines.
Book Synopsis Identifying the New Keynesian Phillips Curve by :
Download or read book Identifying the New Keynesian Phillips Curve written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "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 to a lack of persistence in either exogenous variables or shocks. The authors employ analytic methods to understand the identification problem in several statistical environments: under strict exogeneity, in a vector autoregression, and in the canonical three-equation, New Keynesian model. Given U.S., U.K., and Canadian data, they revisit the empirical evidence and construct tests and confidence intervals based on exact and pivotal Anderson-Rubin statistics that are robust to weak identification. These tests find little evidence of forward-looking inflation dynamics"--Federal Reserve Bank of Atlanta web site.
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis Is the Forward Looking Phillips Curve Unable to Generate Inflation Inertia? by : Luca Bindelli
Download or read book Is the Forward Looking Phillips Curve Unable to Generate Inflation Inertia? written by Luca Bindelli and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we test the present value relation implied by the forward-looking Phillips curve using data on 10 OECD countries. In an influential contribution, Galí and Gertler (1999) have suggested building theoretical inflation series conditional on a reduced-form VAR forecasting process for the marginal cost. We present empirical evidence supportive of a simple first-order autoregressive process in marginal cost instead. Conditional on this hypothesis and on the fact the Phillips curve holds true, theoretical inflation persistence will be shown to arise exclusively because of inertia in marginal cost. The resulting model's inflation dynamics can straightforwardly be tested without the need to estimate the structural parameters and VAR coefficients usually used to construct series on expected future marginal costs. We suggest that the forward-looking Phillips curve might generate too much inertia.
Book Synopsis Comparing Alternative Phillips Curve Specifications: European Results with Survey-based Expectations by : Maritta Paloviita
Download or read book Comparing Alternative Phillips Curve Specifications: European Results with Survey-based Expectations written by Maritta Paloviita and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper examines inflation dynamics in Europe. Econometric specification tests with pooled European data are used to compare the empirical performance of the New Classical, New Keynesian and Hybrid specifications of the Phillips curve. Instead of imposing any specific form of expectations formation, direct measures, ie Consensus Economics survey data are used to proxy economic agents' inflation expectations. According to the results, the New Classical Phillips curve has satisfactory statistical properties. Moreover, the purely forward-looking New Keynesian Phillips curve is clearly outperformed by the New Classical and Hybrid Phillips curves. We interpret our results as indicating that the European inflation process is not purely forward-looking, and inflation cannot instantaneously adjust to changes in expectations. Consequently, even allowing for possible non-rationality in expectations, a lagged inflation term enters the New Keynesian Phillips curve for inflation dynamics in
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Book Synopsis Time-Varying Phillips Curves by : Joseph S. Vavra
Download or read book Time-Varying Phillips Curves written by Joseph S. Vavra and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A growing theoretical literature argues that aggregate price flexibility and the inflation-output tradeoff faced by central banks should rise with microeconomic price change dispersion. However, there is little empirical work testing this prediction. I fill this gap by estimating time-varying forward looking New-Keynesian Phillips Curves (NKPC). I reject a NKPC with constant inflation-output tradeoff in favor of a slope that increases with microeconomic volatility. In contrast, there is no evidence that the inflation-output tradeoff varies with aggregate volatility or the business cycle more generally. Furthermore, I show that greater volatility does not affect price flexibility purely through increases in frequency.
Book Synopsis Asymmetry in the U.S. Output-Inflation Nexus by : Mr.Peter B. Clark
Download or read book Asymmetry in the U.S. Output-Inflation Nexus written by Mr.Peter B. Clark and published by International Monetary Fund. This book was released on 1995-08 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents empirical evidence supporting the proposition that there is a significant asymmetry in the U.S. output-inflation process, which implies that excess demand conditions are much more inflationary than excess supply conditions are disinflationary. The important policy implication of this asymmetry is that it can be very costly if the economy overheats because this will necessitate a severe tightening in monetary conditions in order to reestablish inflation control. The small model of the U.S. outputinflation process developed in the paper shows that the seeds of large recessions, such as that in 1981-82, are planted by allowing the economy to overheat. This type of asymmetry implies that the measure of excess demand which is appropriate in estimating the Phillips curve cannot have a zero mean; instead, this mean must be negative if inflation is to be stationary. The paper also shows that a failure to account for this important implication of asymmetry can explain why some other researchers may have been misled into falsely accepting the linear model. The empirical results presented in the paper show that the conclusions regarding asymmetry are robust to a number of tests for sensitivity to changes in the method used to estimate potential output and in the specification of the Phillips curve.
Book Synopsis The Role of Expectations in Euro Area Inflation Dynamics by : Maritta Paloviita
Download or read book The Role of Expectations in Euro Area Inflation Dynamics written by Maritta Paloviita and published by . This book was released on 2005 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Book Synopsis Is There a Phillips Curve? A Full Information Partial Equilibrium Approach by : Mr.Roberto Piazza
Download or read book Is There a Phillips Curve? A Full Information Partial Equilibrium Approach written by Mr.Roberto Piazza and published by International Monetary Fund. This book was released on 2018-03-08 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical tests of the New Keynesian Phillips Curve have provided results often inconsistent with microeconomic evidence. To overcome the pitfalls of standard estimations on aggregate data, a Full Information Partial Equilibrium approach is developed to exploit sectoral level data. A model featuring sectoral NKPCs subject to a rich set of shocks is constructed. Necessary and sufficient conditions on the structural parameters are provided to allow sectoral idiosyncratic components to be linearly extracted. Estimation biases are corrected using the model's restrictions on the partial equilibrium propagation of idiosyncratic shocks. An application to the US, Japan and the UK rejects the purely forward looking, labor cost-based NKPC.
Book Synopsis The [un]importance of Forward-looking Behavior in Price Specifications by : Jeffrey C. Fuhrer
Download or read book The [un]importance of Forward-looking Behavior in Price Specifications written by Jeffrey C. Fuhrer and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
![Download The [un]importance of Forward-looking Behavior in Price Specifications PDF Online Free](https://books.google.com/books/content/images/frontcover/-vUVAQAAMAAJ?fife=w200-h370)
