A Multimarket Approach for Estimating a New Keynesian Phillips Curve
AbstractWe propose a new approach for estimating a “hybrid” New Keynesian Phillips Curve (NKPC)that includes demand pressures coming from disequilibrium relations in three differentmarkets: (1) monetary and financial, (2) international, and (3) labour. The results of theapplication of this approach show that all three markets contribute to the evolution of inflation. However, shocks on equilibrium in the labour market and short-run movements in cyclical output are relatively more important than other shocks. Econometric tests indicate that this specification is superior to the traditional NKPC, which includes a single variable to account for demand pressures.
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Bibliographic InfoPaper provided by Departamento de Economía, Universidad de Concepción in its series Working Papers with number 02-2009.
Date of creation: 2009
Date of revision:
New Keynesian Phillips Curve; Cointegration; Monetary Policy.;
Other versions of this item:
- Juan De Dios Tena & Jorge Dresdner & Iván Araya, 2012. "A Multimarket Approach For Estimating A New Keynesian Phillips Curve," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 20(1), pages 49-68, Spring.
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-CBA-2010-02-05 (Central Banking)
- NEP-MAC-2010-02-05 (Macroeconomics)
- NEP-MON-2010-02-05 (Monetary Economics)
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