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.
Download or read book Productivity Shocks and the New Keynesian Phillips Curve Evidence from US and Euro Area written by Gene Ambrocio and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The New Keynesian Monetary Model Does it Show the Comovement between Output and Inflation in the U S and the Euro Area written by and published by Fundacion BBVA. This book was released on with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve written by Karsten Reichold and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents evidence for sources and channels of nonlinearities and instabilities of the new Keynesian Phillips curve (NKPC) for the euro area and all but four member states over the last two decades prior to the COVID-19 crisis. The approach rests upon misspecification testing using auxiliary regressions based on the standard open-economy hybrid NKPC. Using a large number of specifications, this approach allows to systematically, i. e., based on a literature review, disentangle the evidence for nonlinearities and instabilities of the NKPC according to sources and channels. For the euro area and most considered member states, there is substantial evidence for nonlinearities and instabilities. The relatively most important channels of nonlinearities and instabilities are similar across countries, whereas the relatively most important sources differ across countries. The results strongly indicate the need for considering nonlinear NKPC relationships in empirical analyses and also point towards potentially useful nonlinear specifications.
Download or read book The New Keynesian Phillips Curve in Europe written by Peter Tillmann and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The canonical New Keynesian model specifies inflation.
Download or read book U S and Euro Area Monetary and Fiscal Interactions During the Pandemic A Structural Analysis written by Andrew Hodge and published by International Monetary Fund. This book was released on 2022-11-11 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a two-country New Keynesian DSGE model to assess the macroeconomic impact of the changes in monetary policy frameworks and the fiscal support in the U.S. and euro area during the pandemic. Moving from a previous target of “below, but close to 2 percent” to a formal symmetric inflation targeting regime in the euro area or from flexible to average inflation targeting in the U.S. is shown to boost output and inflation in both regions. Meanwhile, the fiscal packages approved in the U.S. and the euro area, and a slower withdrawal of fiscal support in the euro area, have a similar impact on output and inflation as changing the monetary policy frameworks . Simultaneously implementing these policies is mutually reinforcing, but insufficient to fully explain the unexpected increase in core inflation during 2021.
Download or read book The New Keynesian Phillips Curve sticky Price wage Model in the U S and Japan written by Masaaki Suzuki and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The New Keynesian Phillips Curve and the Role of Expectations written by Timo Wollmershaeuser and published by . This book was released on 2013 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide evidence on the fit of the hybrid New Keynesian Phillips curve for selected euro zone countries, the US and the UK. Instead of imposing rational expectations and estimating the Phillips curve by the Generalized Method of Moments, we follow Roberts (1997) and Adam and Padula (2003) and use direct measures of inflation expectations. The data source is the Ifo World Economic Survey, which quarterly polls economic experts about the expected future development of inflation. Our main findings are as follows: (i) In comparison with the rational expectations approach, backward-looking behaviour turns out to be more relevant for most countries in our sample. (ii) The use of survey data for inflation expectations yields a positive slope of the Phillips curve when the output gap is used as a measure for marginal cost.
Download or read book Updating the Euro Area Phillips Curve written by Sami Oinonen and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book The Cost Channel of Monetary Policy written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2003-07-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates the importance of the cost channel of monetary policy in a New Keynesian model of the business cycle. A model with nominal rigidities is extended by assuming that a fraction of firms need to borrow money to pay their wage bill. Hence, monetary policy tightenings increase effective unit labor costs of production, and might imply an increase in inflation. The model explains the joint dynamics of output, inflation, real wages, and interest rates, and is estimated using a Bayesian framework and data for the United States and the euro area. The main result is that cost channel effects are absent in both cases. Moreover, it is not possible to obtain a "price puzzle" type of behavior from estimated impulse responses to monetary policy shocks.
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.
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 Nonparametric hybrid Phillips Curves based on subjective expectations estimates for the Euro area written by Marco Buchmann and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Keynesian Phillips Curves written by Peter McAdam and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Dynamics Reconsidered Inflation Targeting Europe vs United States written by Marc Kern and published by GRIN Verlag. This book was released on 2016-03-08 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2015 in the subject Economics - Macro-economics, general, grade: 1,3, University of Frankfurt (Main) (Departement of Money and Macroeconomics), language: English, abstract: This paper investigates the inflation dynamics of Germany, Italy, Finland, the whole Europe Area and the United States, based on a General-Method of Moments (GMM) estimation. The New-Keynesian Model and the Real-Business-Cycle Model are essential for the estimation.
Download or read book The Return of the European Wage Phillips Curve written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we compare the accelerationist Phillips curve to the New-Keynesian Wage Phillips curve in Euro Area countries which went through major swings in the unemployment rate in recent years. We find that the New-Keynesian wage Phillips curve signals cyclical fluctuations in unemployment more clearly and yields less pro-cyclical estimates of the NAWRU in four crisis-hit EU member states (Greece, Spain, Ireland and Portugal) than a traditional Phillips curve model, which may not treat price rigidities adequately. Slightly augmenting the NKP model by allowing for real wage rigidities further improves the extraction of a cyclical unemployment component.
