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Estimating a high-frequency New-Keynesian Phillips curve

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  • Steffen Ahrens
  • Stephen Sacht

Abstract

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 parameter of nominal rigidity over a very short period—for instance for the recent financial and economic crisis—which can then be easily transformed into their low-frequency equivalences. With Argentine data from the end of 2007 to the beginning of 2011 we estimate the daily Calvo parameter and find that on average prices remain fixed for approximately two to three months which is in line with recent microeconomic evidence. Copyright Springer-Verlag Berlin Heidelberg 2014

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  • Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
    • Handle: RePEc:spr:empeco:v:46:y:2014:i:2:p:607-628
    DOI: 10.1007/s00181-013-0684-7
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    2. Yazgan M. Ege & Yilmazkuday Hakan, 2005. "Inflation Dynamics of Turkey: A Structural Estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-15, March.
    3. Kukacka, Jiri & Sacht, Stephen, 2023. "Estimation of heuristic switching in behavioral macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
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    5. Lis, Eliza & Nickel, Christiane & Papetti, Andrea, 2020. "Demographics and inflation in the euro area: a two-sector new Keynesian perspective," Working Paper Series 2382, European Central Bank.

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    More about this item

    Keywords

    Calvo staggering; High-frequency New-Keynesian model ; GMM; C26; E31;
    All these keywords.

    JEL classification:

    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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