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The asymmetry of the New Keynesian Phillips Curve in the euro-area

Author

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  • Chortareas, Georgios
  • Magonis, George
  • Panagiotidis, Theodore

Abstract

Using a two-stage quantile regression framework, we uncover significant asymmetries across quantiles for all coefficients in an otherwise standard New Keynesian Phillips Curve (NKPC) for the euro area. A pure NKPC specification accurately captures inflation dynamics at high inflation quantiles.

Suggested Citation

  • Chortareas, Georgios & Magonis, George & Panagiotidis, Theodore, 2012. "The asymmetry of the New Keynesian Phillips Curve in the euro-area," Economics Letters, Elsevier, vol. 114(2), pages 161-163.
  • Handle: RePEc:eee:ecolet:v:114:y:2012:i:2:p:161-163
    DOI: 10.1016/j.econlet.2011.09.035
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    References listed on IDEAS

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    11. Tae-Hwan Kim & Christophe Muller, 2004. "Two-stage quantile regression when the first stage is based on quantile regression," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 218-231, June.
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    Citations

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    Cited by:

    1. Sznajderska, Anna, 2014. "Asymmetric effects in the Polish monetary policy rule," Economic Modelling, Elsevier, vol. 36(C), pages 547-556.
    2. Christophe Muller, 2017. "Heterogeneity and Non-Constant Effect in Two-Stage Quantile Regression," Working Papers halshs-01157552, HAL.
    3. Tomas Skovranek, 2016. "The Mittag-Leffler Phillips Curve," Papers 1604.00369, arXiv.org, revised Nov 2017.
    4. Tae-Hwan Kim & Christophe Muller, 2015. "A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression," Working papers 2015rwp-82, Yonsei University, Yonsei Economics Research Institute.
    5. Baranowski, Paweł & Kuchta, Zbigniew, 2015. "Changes in nominal rigidities in Poland – a regime switching DSGE perspective," MPRA Paper 70573, University Library of Munich, Germany, revised Mar 2016.
    6. Dong Jin Lee & Jai Hyung Yoon, 2012. "The New Keynesian Phillips Curves in Multiple Quantiles and the Asymmetry of Monetary Policy," Working papers 2012-03, University of Connecticut, Department of Economics.
    7. Lee, Dong Jin & Yoon, Jai Hyung, 2016. "The New Keynesian Phillips Curve in multiple quantiles and the asymmetry of monetary policy," Economic Modelling, Elsevier, vol. 55(C), pages 102-114.

    More about this item

    Keywords

    New Keynesian Phillips Curve; Quantile regression; Euro-area; Asymmetries;

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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