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What drives inflation in New Keynesian models?

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  • Matthes, Christian
  • Wang, Mu-Chun

Abstract

This paper estimates variants of a small-scale New Keynesian model using observations on inflation, inflation expectations and nominal interest rates. We ask whether those variables alone can tell us something about the time series properties of real marginal costs.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 114 (2012)
Issue (Month): 3 ()
Pages: 338-342

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Handle: RePEc:eee:ecolet:v:114:y:2012:i:3:p:338-342

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Marginal cost; Phillips curve; Inflation expectations;

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References

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  1. Argia M. Sbordone, 2001. "Prices and Unit Labor Costs: A New Test of Price Stickiness," Departmental Working Papers 199822, Rutgers University, Department of Economics.
  2. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-Time Measurement of Business Conditions," NBER Working Papers 14349, National Bureau of Economic Research, Inc.
  3. Jordi Gali & Mark Gertler, 2000. "Inflation Dynamics: A Structural Econometric Analysis," NBER Working Papers 7551, National Bureau of Economic Research, Inc.
  4. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
  5. Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
  6. Argia M. Sbordone, 2005. "Do expected future marginal costs drive inflation dynamics?," Staff Reports 204, Federal Reserve Bank of New York.
  7. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
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Cited by:
  1. Lanne, Markku & Luoto, Jani, 2012. "Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?," MPRA Paper 41820, University Library of Munich, Germany.
  2. Selen Baser Andic & Hande Kucuk & Fethi Ogunc, 2014. "Inflation Dynamics in Turkey : In Pursuit of a Domestic Cost Measure," Working Papers 1420, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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