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The empirical relevance of the New Keynesian Phillips curve

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Author Info
Ragnar Nymoen
Gunnar Bardsen
Eilev S. Jansen

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Abstract

The dynamic properties of the The New Keynesian Phillips curve (NPC) is analysed within the framework of a small system of linear difference equations. We evaluate the empirical results of existing studies which uses `Euroland' and US data. The debate has been centered around the goodness-of-fit, but this is a weak criterion since the NPC-fit is typically well approximated by purely statistical models (e.g., a random walk). Several other parametric tests are then considered, and the importance of modelling a system that includes the forcing variables as well as the rate of inflation is emphasized. We also highlight the role of existing studies in providing new information relative to that which underlies the typical NPC. This encompassing approach is applied to open economy versions of the NPC for UK and Norway

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Paper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 328.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nawm04:328

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Related research
Keywords: New Keynesian Phillips curves; US inflation; Euro inflation; UK inflation; Norwegian inflation; Monetary policy; Dynamic stability conditions; Evaluation; Encompassing tests.;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Sophocles N. Brissimis & Nicholas S. Magginas, 2006. "Inflation Forecasts and the New Keynesian Phillips Curve," Working Papers 38, Bank of Greece. [Downloadable!]
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