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Studying the Short-Run Dynamics of Inflation: Estimating a Hybrid New-Keynesian Phillips Curve for Argentina (1993-2007)

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Author Info

  • Laura D´Amato

    ()
    (Central Bank of Argentina)

  • Lorena Garegnani

    ()
    (Central Bank of Argentina)

Abstract

We estimate a “Hybrid New-Keynesian Phillips Curve” for Argentina between 1993 and 2007. We extend the model to a small open economy, considering separately the influence of nominal devaluation and foreign inflation on domestic prices. For the whole sample, we find that forward and backward-looking components are relevant although the backward-looking term weights more in determining inflation dynamics. We test for parameter stability and find a break-point in 2002 along with the regime change. In line with recent literature on trend inflation, when trend inflation increases, the influence of the output gap weakens and the curve becomes more forward-looking.

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File URL: http://www.bcra.gov.ar/pdfs/investigaciones/WP_2009_40i.pdf
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Bibliographic Info

Paper provided by Central Bank of Argentina, Economic Research Department in its series BCRA Working Paper Series with number 200940.

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Length: 19 pages
Date of creation: Apr 2009
Date of revision:
Handle: RePEc:bcr:wpaper:200940

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Related research

Keywords: Argentina; inflation dynamics; Phillips Curve; small open economy;

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References

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  1. Lars E. O. Svensson, 2000. "Open-Economy Inflation Targeting," NBER Working Papers 6545, National Bureau of Economic Research, Inc.
  2. Michael Kiley, 2004. "Is Moderate-To-High Inflation Inherently Unstable?," Econometric Society 2004 North American Summer Meetings, Econometric Society 193, Econometric Society.
  3. Guido Ascari & Tiziano Ropele, 2009. "Trend inflation, Taylor principle and indeterminacy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 708, Bank of Italy, Economic Research and International Relations Area.
  4. repec:sae:niesru:v:164:y::i:1:p:100-109 is not listed on IDEAS
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Cited by:
  1. Steffen Ahrens & Stephen Sacht, 2011. "Estimating a High-Frequency New-Keynesian Phillips Curve," Kiel Working Papers, Kiel Institute for the World Economy 1686, Kiel Institute for the World Economy.

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