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Testing the New Keynesian Phillips Curve Without Assuming Identification

Mavroeidis, Sophocles - 2007

We re-examine the evidence on the new Phillips curve model of Gali and Gertler (Journal of Monetary Economics 1999) using the conditional score test of Kleibergen (Econometrica 2005),which is robust to weak identification. In contrast to earlier studies, we find that US postwar data are...

Persistent link: https://www.econbiz.de/10014057899

Second Order Time Dependent Inflation Persistence in the United States : a GARCH-in-Mean Model with Time Varying Coefficients

Canepa, Alessandra - 2020

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persistence, which not only distinguishes between...

Persistent link: https://www.econbiz.de/10012843786

Testing the new Keynesian Phillips curve without assuming identification

Mavroeidis, Sophocles - 2006

We re-examine the evidence on the new Phillips curve model of Gali and Gertler (Journal of Monetary Economics 1999) using the conditional score test of Kleibergen (Econometrica 2005), which is robust to weak identification. In contrast to earlier studies, we find that US postwar data are...

Persistent link: https://www.econbiz.de/10010318951

Testing the New Keynesian Phillips Curve : A Frequency Domain Approach

Bindelli, Luca - 2005

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...

Persistent link: https://www.econbiz.de/10014065087

Modelling Inflation in China - A Regional Perspective

Mehrotra, Aaron N.; Peltonen, Tuomo; Santos Rivera, Alvaro - 2009

We model provincial inflation in China during the reform period. In particular, we are interested in the ability of the hybrid New Keynesian Phillips Curve (NKPC) to capture the inflation process at the provincial level. The study highlights differences in inflation formation and shows that the...

Persistent link: https://www.econbiz.de/10014224532

Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve

Sahuc, Jean-Guillaume - 2010

This paper proposes a full description of the Calvo price-setting model based on partial prices indexation and studies the interaction between partial indexation and trend inflation. We show that using a hybrid version of the Phillips curve partly decreases the risks of overestimate due to the...

Persistent link: https://www.econbiz.de/10013136220

The nonlinearity of the new Keynesian Phillips Curve : the case of Tunisia

Kobbi, Imen; Gabsi, Foued Badr - In: Economies : open access journal 5 (2017) 3, pp. 1-12

This article seeks to check the nonlinearity of the Phillips curve in Tunisia for the 1993–2012 period, relying on a hybrid new Keynesian Phillips curve modeled via a Logistic Smooth Transition Regression (LSTR) model with endogenous variables. We estimate this model using the nonlinear...

Persistent link: https://www.econbiz.de/10011754075

Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model

Scacciavillani, Fabio - 2006

This paper is an empirical study of the links between monetary variables and inflation based on Cagan`s equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other...

Persistent link: https://www.econbiz.de/10012781804

The bias of the ECB inflation projections : a state-dependent analysis

Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2024

We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to … underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is … errors in the exogenous assumptions on interest rates, exchange rates or oil prices. The state-dependent bias may be …

Persistent link: https://www.econbiz.de/10015179408

The bias of the ECB inflation projections : a State-dependent analysis

Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2024

Persistent link: https://www.econbiz.de/10014532443