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Testing the New Keynesian Phillips curve

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Author Info

  • Bårdsen, Gunnar

    ()
    (Norges Bank, University of Oslo and Norwegian University of Science and Technology)

  • Jansen, Eilev S.

    (Dept. of Economics, University of Oslo)

  • Nymoen, Ragnar

    ()
    (Dept. of Economics, University of Oslo)

Abstract

The dynamic properties of the The New Keynesian Phillips curve (NPC) is analysed within the framework of a small system of linear di.erence 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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Bibliographic Info

Paper provided by Oslo University, Department of Economics in its series Memorandum with number 18/2002.

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Length: 41 pages
Date of creation: 17 Jun 2003
Date of revision:
Publication status: Forthcoming in Oxford Bulletin of Economics and Statistics, 2004.
Handle: RePEc:hhs:osloec:2002_018

Contact details of provider:
Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
Email:
Web page: http://www.oekonomi.uio.no/indexe.html
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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;

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References

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Citations

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Cited by:
  1. Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2006. "The New Keynesian Phillips Curve for a Small Open Economy," Discussion Papers 460, Research Department of Statistics Norway.
  2. Fanelli, Luca, 2005. "Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area," MPRA Paper 1617, University Library of Munich, Germany, revised Jan 2007.
  3. John C. Driscoll & Steinar Holden, 2002. "Coordination, Fair Treatment and Inflation Persistence," NBER Working Papers 9174, National Bureau of Economic Research, Inc.
  4. Batini, Nicoletta, 2002. "Euro area inflation persistence," Working Paper Series 0201, European Central Bank.
  5. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002. "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series 2102, Department of Economics, Norwegian University of Science and Technology.
  6. Ieva Rubene & Paolo Guarda, 2004. "The new Keynesian Phillips curve: empirical results for Luxembourg," BCL working papers 11, Central Bank of Luxembourg.
  7. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
  8. McAdam, Peter & Willman, Alpo, 2003. "New Keynesian Phillips Curves: a reassessment using euro-area data," Working Paper Series 0265, European Central Bank.
  9. Robert J. Gordon, 2013. "The Phillips Curve is Alive and Well: Inflation and the NAIRU During the Slow Recovery," NBER Working Papers 19390, National Bureau of Economic Research, Inc.
  10. Luca Bindelli, 2005. "Testing the New Keynesian Phillips curve: a frequency domain approach," Money Macro and Finance (MMF) Research Group Conference 2005 69, Money Macro and Finance Research Group.

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