The New Keynesian Phillips Curves in Multiple Quantiles and the Asymmetry of Monetary Policy

This paper empirically explores the New Keynesian Phillips Curve (NKPC)in multiple quantiles and examines the risk structure of the inflation process focusing on the asymmetric monetary policy. The estimation results support the canonical NKPC in upper quantiles while the hybrid version fits better with mid-quantiles. We find evidence of an asymmetric risk such that a decrease in the expected inflation reduces the risk in the sense of dispersive order and vice versa. This result implies that tightening rather than easing money is more effective in reducing risks. Structural break tests detect a break in all quantiles around 1983. Post-break data still support the asymmetric pattern. JEL Classification: C32, E31, E52 Key words: New Keynesian Phillips Curve, multiple quantile estimation, asymmetric monetary policy, structural break