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The New Keynesian Phillips Curve: An empirical assessment

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  • Florian PELGRIN
  • Alain GUAY
  • Richard LUGER

Abstract

The recent works of Gali and Gertler (1999) and Gali, Gertler and Lopez-Salido (2001) provide evidence supporting the New Keynesian Phillips curve (NKPC). This model posits the dynamics of inflation as being forward-looking and related to real marginal costs. In this paper, we examine the empirical relevance of their results for the United States. Our approach addresses several important econometric issues with the standard approaches typically used for estimation and inference in NKPC models. Using the continously-updated GMM estimator proposed by Hansen, Heaton and Yaron (1996) and the 3-step GMM estimator developed by Bonnal and Renault (2003), the empirical evidence of the NKPC is rather mixed. Specifically, results are sensitive to the instruments sets, normalisation, estimators, the sample period and revisions of data

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 418.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:418

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Keywords: GMM; Phillips Curve; Inflation dynamics;

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Cited by:
  1. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
  2. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2007. "Aggregating Phillips curves," Working Paper Series 0785, European Central Bank.
  3. Janko Gorter, 2005. "Subjective Expectations and New Keynesian Phillips Curves in Europe," DNB Working Papers 049, Netherlands Central Bank, Research Department.
  4. Rumler, Fabio, 2005. "Estimates of the open economy New Keynesian Phillips curve for euro area countries," Working Paper Series 0496, European Central Bank.
  5. Frode Brevik & Manfred Gärtner, 2005. "Partisan Theory and the New Keynesian and Sticky-Information Phillips Curves," University of St. Gallen Department of Economics working paper series 2005 2005-25, Department of Economics, University of St. Gallen.
  6. Mohamed Boutahar & David Gbaguidi, 2009. "Which Econometric Specification to Characterize the U.S. Inflation Rate Process?," Computational Economics, Society for Computational Economics, vol. 34(2), pages 145-172, September.

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