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Author : Jeremy Bay Rudd
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.E/5 ( download)
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:
Author : Jeremy B. Rudd
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)
Download or read book New Tests of the New-Keynesian Phillips Curve written by Jeremy B. Rudd and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gunnar Bårdsen
Publisher :
ISBN 13 : 9788275531955
Total Pages : 38 pages
Book Rating : 4.5/5 (319 download)
Download or read book Testing the New Keynesian Phillips Curve written by Gunnar Bårdsen and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Author : Luca Bindelli
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Download or read book Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we set out a test of the New Keynesian Phillips Curve (NKPC) based on Vector Autoregressive (VAR) models. The proposed technique does not rely on the Anderson and Moore (1985) method and can be implemented with any existing econometric software. The idea is to use a VAR involving the inflation rate and the forcing variable(s) as the expectation generating system and find the restrictions that nest the NKPC within the VAR. The model can be estimated and tested through maximum likelihood methods. We show that the presence of feedbacks from the inflation rate to the forcing variable(s) can affect solution properties of the NKPC; when feedbacks are detected the VAR should be regarded as the final form solution of a more general structural model. Possible non-stationary in the variables can be easily taken into account within our framework. Empirical results point that the standard "hybrid" versions of the NKPC are far from being a good first approximation to the dynamics of inflation in the Euro area.
Author : Mr.Roberto Piazza
Publisher : International Monetary Fund
ISBN 13 : 1484345207
Total Pages : 59 pages
Book Rating : 4.4/5 (843 download)
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.
Author : Luca Fanelli
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models written by Luca Fanelli and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the issue of testing the hybrid New Keynesian Phillips curve (NKPC) through vector autoregressive (VAR) systems and likelihood methods, giving special emphasis to the case where the variables are non-stationary. The idea is to use a VAR for both the inflation rate and the explanatory variable(s) to approximate the dynamics of the system and derive testable restrictions. Attention is focused on the inexact formulation of the NKPC. Empirical results over the period 1971-98 show that the NKPC is far from providing a good first approximation of inflation dynamics in the Euro area.
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.
Author : G. S. Tavlas
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The New Keynesian Phillips Curve and Inflation Expectations written by G. S. Tavlas and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theoretical analysis of the new Keynesian Phillips curve (NKPC) is provided, formulating the conditions under which the NKPC coincides with a real-world relation that is not spurious or misspecified. A time-varying-coefficient (TVC) model, involving only observed variables, is shown to exactly represent the underlying “true” NKPC under certain conditions. In contrast, “hybrid” NKPC models, which add lagged-inflation and supply-shock variables, are shown to be spurious and misspecified. We also show how to empirically implement the NKPC under the assumption that expectations are formed rationally.
Author : Katarína Danišková
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (863 download)
Download or read book Meta-Analysis of the New Keynesian Phillips Curve written by Katarína Danišková and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric Jondeau
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : Assaf Razin
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book The 'new Keynesian' Phillips Curve written by Assaf Razin and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper extends Woodford's (2000) analysis of the closed economy Phillips curve to an open economy with both commodity trade and capital mobility. We show that consumption smoothing, which comes with the opening of the capital market, raises the degree of strategic complementarity among monopolistically competitive suppliers, thus rendering prices more sticky and magnifying output responses to nominal GDP shocks.
Author : Bergljot B. Barkbu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The New Keynesian Phillips Curve in the United States and the Euro Area written by Bergljot B. Barkbu and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent past, the empirical literature on the New Keynesian Phillips Curve (NKPC) has grown rapidly. The NKPC has been shown to describe satisfactorily the relationship between inflation and marginal cost both for the United States and the euro area. However, little attention has been given so far to the stability and robustness of the parameters in the estimated NKPC. In this paper, we aim to help fill this gap. After estimating hybrid NKPCs on US and euro-area data using the generalised method of moments and having found that our results are broadly in line with previous findings, we subject our estimated NKPCs to a thorough stability analysis. We find that the estimated coefficients for the United States are stable, whereas those for the euro area are considerably less stable. We then investigate the possible reasons for this instability. One explanation, explored using the Andrews' test, is the presence of structural breaks. Another possibility is the presence of an aggregation bias, which we investigate by estimating NKPCs for the three largest euro-area economies: Germany, France and Italy. At this disaggregated level, the fit of the NKPC improves, but the coefficients are still unstable. Furthermore, the disaggregated analysis indicates the presence of structural breaks in the three largest euro-area economies.
Author : Fabio Canova
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (84 download)
Download or read book Comment to "Weak Instruments Robust Tests in GMM and the New Keynesian Phillips Curve" by Frank Kleibergen and Sophocles Mavroeidis written by Fabio Canova and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sandeep Mazumder
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The New Keynesian Phillips Curve and the Cyclicality of Marginal Cost written by Sandeep Mazumder and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Several authors have argued that if the labor share of income is used as the proxy for real marginal cost, then the sticky-price version of the New Keynesian Phillips Curve does a good job of approximating US inflation dynamics. However, this paper argues that the labor share is an inappropriate measure of real marginal cost for two reasons: it is countercyclical whereas theory predicts marginal cost should be procyclical, and it assumes that labor can be costlessly adjusted at a fixed real wage rate. Relaxing this assumption to a more realistic one leads to a measure of marginal cost that is markedly procyclical. Testing this improved measure of marginal cost then produces results that are contradictory to the entire underlying model of the NKPC. Thus I conclude that the NKPC fails to give a sound explanation of inflation dynamics.
Author : Vincent Belinga
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (113 download)
Download or read book The Moroccan New Keynesian Phillips Curve written by Vincent Belinga and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Phillips curve is central to discussions of inflation dynamics and monetary policy. In particular, the New Keynesian Phillips Curve is a valuable tool to describe how past inflation, expected future inflation, and real marginal cost or an output gap drive the current inflation rate. However, economists have had difficulty applying the New Keynesian Phillips Curve to real-world data due to empirical limitations. This paper overcomes these limitations by using an identification-robust estimation method called the Tikhonov Jackknife instrumental variables estimator. Data from Morocco are used to examine the ability of the New Keynesian Phillips Curve to explain Moroccan inflation dynamics. The analysis finds that by adding more information to the hybrid version of the New Keynesian Phillips Curve model by increasing the number of moment conditions, the inflation dynamics in Morocco can be well-described by the New Keynesian Phillips Curve. This framework suggests that the New Keynesian Phillips Curve would be a strong candidate for short-run inflation forecasting.
