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Partial indexation and inflation dynamics: what do the data say?

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  • Jean-Guillaume Sahuc

Abstract

New evidence is provided on the fit of the hybrid Phillips curve based on indexation of prices to lagged inflation and trend inflation for the Euro area and the USA over the period 1970-2002. The GMM-West estimates suggest that (i) a full indexation scheme is not data consistent whereas a partial indexation scheme allows a good fit and (ii) forgetting trend inflation induces overestimating by approximately 3-4% of the probability to not change the price, for reasonable values of trend inflation.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 13 ()
Pages: 827-832

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Handle: RePEc:taf:apeclt:v:11:y:2004:i:13:p:827-832

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  1. Sahuc, J-G., 2004. "Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve," Working papers 118, Banque de France.
  2. Jondeau, Eric & Le Bihan, Herve, 2005. "Testing for the New Keynesian Phillips Curve. Additional international evidence," Economic Modelling, Elsevier, vol. 22(3), pages 521-550, May.
  3. Galí, Jordi & Gertler, Mark & López-Salido, J David, 2001. "European Inflation Dynamics," CEPR Discussion Papers 2684, C.E.P.R. Discussion Papers.
  4. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001. "Nominal rigidities and the dynamic effects of a shock to monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
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Cited by:
  1. Douch, Mohamed & Essadam, Naceur, 2008. "Monetary policy conduct: A hybrid framework," MPRA Paper 20715, University Library of Munich, Germany.
  2. Scheufele, Rolf, 2010. "Evaluating the German (New Keynesian) Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 21(2), pages 145-164, August.
  3. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  4. Julien Matheron, 2006. "Firm-Specific Labor and Firm-Specific Capital: Implications for the Euro-Data New Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
  5. Richard Dennis, 2008. "The Frequency Of Price Adjustment And New Keynesian Business Cycle Dynamics," CAMA Working Papers 2008-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, vol. 37(3), pages 463-473, December.

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