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Semi-structural estimates of time-varying NAIRU based on the new Keynesian Phillips curve: evidence from Eastern European economies

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  • Vít Pošta

Abstract

The analysis in this paper uses the generalized method of moments to estimate the structural parameters of the hybrid New Keynesian Phillips curve model. These are related to preferences, price stickiness and degree of openness of economies. The sample of the assessed economies consists of most of the new European Union Members. The results of this part of the analysis are then used to calibrate state-space models which follow the structure of the hybrid New Keynesian Phillips curve, but include unemployment gaps instead of marginal costs. These serve to estimate time-varying non-accelerating rates of unemployment as measures of structural unemployment, which are closer to the current theoretical economical modeling in comparison with the majority of such estimates, which are still built on ad hoc macroeconomic relationships. These results are compared with estimates based on the same state-space models but without the calibration of the structural parameters. All in all, the results of the analysis show some support for such an approach to the estimation of structural unemployment. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Vít Pošta, 2015. "Semi-structural estimates of time-varying NAIRU based on the new Keynesian Phillips curve: evidence from Eastern European economies," Empirical Economics, Springer, vol. 49(4), pages 1217-1243, December.
    • Handle: RePEc:spr:empeco:v:49:y:2015:i:4:p:1217-1243
    DOI: 10.1007/s00181-015-0926-y
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    More about this item

    Keywords

    Generalized method of moments; New Keynesian Phillips curve; State-space modeling; Structural unemployment; E24; E31; E37;
    All these keywords.

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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