Ahrens, Steffen; Sacht, Stephen - In: Empirical Economics 46 (2014) 2, pp. 607-628
This paper estimates a high-frequency New-Keynesian Phillips curve via the generalized method of moments. Allowing for higher-than-usual frequencies strongly mitigates the problems of small-sample bias and structural breaks. Applying a daily frequency allows us to obtain estimates for the Calvo...