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.

Download or read book Inflation Dynamics and the New Keynesian Phillips Curve written by Jean-Marie Dufour and published by Montréal : CIRANO. This book was released on 2005 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. They focus on Gal ̕and Gertler's (1999) specification, for both U.S. and Canadian data. Two variants of the model are studied: one based on a rational-expectations assumption, and a modification to the latter that uses survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behaviour, and (iii) the frequency of price adjustment. Overall, the authors find that there is some support for the hybrid NKPC for the United States, whereas the model is not suited to Canada. Their findings underscore the need for employing identification-robust inference methods in the estimation of expectations-based dynamic macroeconomic relations."--Abstract from website.

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:

Download or read book Inflation Dynamics and the New Keynesian Phillips Curve written by Jean-Marie Dufour and published by Montréal : CIRANO. This book was released on 2005 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve written by Jinho Choi and published by . This book was released on 2017 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article proposes a new identification strategy and a new estimation method for the hybrid New Keynesian Phillips curve (NKPC). Unlike the predominant Generalized Method of Moments (GMM) approach, which leads to weak identification of the NKPC with U.S. postwar data, our non-parametric method exploits nonlinear variation in inflation dynamics and provides supporting evidence of point-identification. This article shows that identification of the NKPC is characterized by two conditional moment restrictions. This insight leads to a quantitative method to assess identification in the NKPC. For estimation, the article proposes a closed-form Generalized Band Spectrum Estimator (GBSE) that effectively uses information from the conditional moments, accounts for nonlinear variation, and permits a focus on short-run dynamics. Applying the GBSE to U.S postwar data, we find a significant coefficient of marginal cost and that the forward-looking component and the inflation inertia are both equally quantitatively important in explaining the short-run inflation dynamics, substantially reducing sampling uncertainty relative to existing GMM estimates.

Download or read book Inflation Dynamics and the New Keynesian Phillips Curve written by Jean-Marie Dufour and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book New Keynesian Phillips Curve NKPC in Newly Industrialized Countries NICS written by Chin Sian Lai and published by . This book was released on 2014 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NKPC has become popular as a theory for understanding the inflation dynamics and become a popular adopted research topic in evaluating its empirical performance. Despite wide research of NKPC on developed countries, less study have been done in developing countries, especially on countries that are moving forward to industrialized economy. This study is dedicated to the estimation of NKPC in NICs using generalized method of moments (GMM), in which the expected inflation rate is examined by actual value. The main finding in this study is that the NKPC fits NICs data relatively well. The output gap and expected inflation rate do contribute to the inflation dynamics in NKPC model. The results in this study also indicated that the estimated NKPC has been relatively stable over sample period.

Download or read book Identification of New Keynesian Phillips Curves from a Global Perspective written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve written by Jordi Galí and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Galí and Gertler (1999) developed a hybrid variant of the New Keynesian Phillips curve that relates inflation to real marginal cost, expected future inflation and lagged inflation. GMM estimates of the model suggest that forward looking behavior is dominant: The coefficient on expected future inflation substantially exceeds the coefficient on lagged inflation. While the latter differs significantly from zero, it is quantitatively modest. Several authors have suggested that our results are the product of specification bias or suspect estimation methods. Here we show that these claims are incorrect, and that our results are robust to a variety of estimation procedures, including GMM estimation of the closed form, and nonlinear instrumental variables. Also, as we discuss, many others have obtained very similar results to ours using a systems approach, including FIML techniques. Hence, the conclusions of GG and others regarding the importance of forward looking behavior remain robust.

Download or read book Identification of New Keynesian Phillips Curves from a Global Perspective written by Stéphane Dées and published by . This book was released on 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimating the New Keynesian Phillips Curve with Regional Data and Selected Instruments written by Dan Li and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the increase in nationwide unemployment following the Great Recession, the United States only saw a moderate fall in inflation, which has led to numerous debates on whether the Phillips curve has indeed flattened. The empirical discrepancies leading to this debate could stem from estimation issues related to confounding cost-push shocks and the many weak instruments encountered by the aggregate New Keynesian Phillips curve. This paper resolves these two issues by incorporating regional variation and instrument selection. Monte-Carlo simulations demonstrate that regional data help with the identification of the Phillips curve when cost-push shocks bias the aggregate estimation, and the NKPC estimation can be further improved in finite samples with instrument selection. I apply these methods to US metropolitan data and find that the aggregate Phillips curve has not flattened; on the contrary, the trade-off between inflation and unemployment remains strong when using regional data from more recent periods.

Download or read book Observed Inflation Forecasts and the New Keynesian Phillips Curve written by Chengsi Zhang and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical success of the New Keynesian Phillips Curve (NKPC) in explaining US inflation when observed measures of inflation expectations are used in conjunction with the output gap. The paper contributes to the literature by addressing the important problem of serial correlation in the stylized NKPC and developing an extended model to account for this serial correlation. Contrary to recent results indicating no role for the output gap, we find it to be a statistically significant driving variable for inflation, with this finding robust to whether the inflation expectations series used relates to individual consumers, professional forecasters or the US Fed.

Download or read book Unconventional Policy Instruments in the New Keynesian Model written by Zineddine Alla and published by International Monetary Fund. This book was released on 2016-03-10 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the use of unconventional policy instruments in New Keynesian setups in which the ‘divine coincidence’ breaks down. The paper discusses the role of a second instrument and its coordination with conventional interest rate policy, and presents theoretical results on equilibrium determinacy, the inflation bias, the stabilization bias, and the optimal central banker’s preferences when both instruments are available. We show that the use of an unconventional instrument can help reduce the zone of equilibrium indeterminacy and the volatility of the economy. However, in some circumstances, committing not to use the second instrument may be welfare improving (a result akin to Rogoff (1985a) example of counterproductive coordination). We further show that the optimal central banker should be both aggressive against inflation, and interventionist in using the unconventional policy instrument. As long as price setting depends on expectations about the future, there are gains from establishing credibility by using any instrument that affects these expectations.

Download or read book The New Keynesian Phillips Curve in a Small Open Economy written by Syed Kanwar Abbas and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study estimates the new Keynesian Phillips curve (NKPC) of Gali and Monacelli for a small open economy using Australian data. Our detailed investigation hinges on estimating the structural parameters in five different variants of the Gali-Monacelli NKPC, which relates the inflation process to terms of trade and the real exchange rate; the marginal cost and output gap as proxies for real economic activity and the hybrid version incorporating both forward- and backward-looking inflation expectations. The analysis and extensive robustness checks overwhelmingly establish that the Gali-Monacelli NKPC cannot explain the dynamics of inflation and is rejected by the Australian data.

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.

Download or read book Notes on the Inflation Dynamics of the New Keynesian Phillips Curve written by Andreas Hornstein and published by . This book was released on 2007 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: