A New Keynesian Framework and Wage and Price Dynamics in the US
AbstractNew Keynesian model with wages and prices is introduced and estimated by maximum likelihood. The steady state relationships of the model are imposed as testable restrictions on the long-run cointegrating relationships in an equilibrium correction framework, giving an equilibrium correction model with imposed theoretical restrictions from a New Keynesian model. Short-run properties are also estimated and investigated. The results indicate that the main aspects of the theoretical model cannot be rejected. Hence, New Keynesian models may be combined with a more general vector autoregressive framework in order to conduct estimation.
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Bibliographic InfoPaper provided by Department of Economics, Norwegian University of Science and Technology in its series Working Paper Series with number 15113.
Length: 27 pages
Date of creation: 30 Jul 2013
Date of revision:
Cointegration; New Keynesian models; steady state; wages; prices; unemployment; equilibrium correction.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
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