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Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area Author info | Abstract | Publisher info | Download info | Related research | Statistics Fanelli, Luca
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This paper addresses the issue of testing the 'hybrid' New Keynesian Phillips Curve (NKPC) through Vector Autoregressive (VAR) systems and likelihood methods, giving special emphasis to the case where the variables are non-stationary. The idea is to use a VAR for both the inflation rate and the explanatory variable(s) to approximate the dynamics of the system and derive testable restrictions. Attention is focused on the 'inexact' formulation of the NKPC. Empirical results over the period 1971-1998 show that the NKPC is far from being a `good first approximation' of inflation dynamics in the Euro area.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
1617.
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Date of creation: Jan 2005Date of revision:
Jan 2007Handle: RePEc:pra:mprapa:1617Contact details of provider: Postal: Schackstr. 4, D-80539 Munich, Germany Phone: +49-(0)89-2180-2219 Fax: +49-(0)89-2180-3900 Web page: http://mpra.ub.uni-muenchen.de More information through EDIRC
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Keywords: Inflation dynamics Forecast model New Keynesian Phillips Curve Forward-looking behavior VAR expectations. Other versions of this item:
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
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Full
references Cited by : (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.)
Fanelli, Luca, 2008.
"Evaluating the New Keynesian Phillips Curve under VAR-Based Learning ,"
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ws076917, Universidad Carlos III, Departamento de Estadística y Econometría.
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Pål Boug, Ådne Cappelen and Anders Rygh Swensen, 2007.
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