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Inflation Dynamics in Seven Industrialised Open Economies

Author

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  • Nicoletta Batini
  • Ryan Banerjee

Abstract

Abstract: The literature on the New Phillips Curve (NPC) started off with an analysis of pricing behaviour in economies that are closed and with price and wage contracts that are either of the Calvo or Taylor-style. In the spirit of the Batini, Jackson and Nickell (2000) here we focus on the open-economy aspects of the NPC and in the spirit of Dotsey, King and Wolman (1999) and Guerrieri (2001) we then analyse the fit of different price contracting specifications. We estimate via Maximum Likelihood 'hybrid' structural pricing equations for seven open-economy industrialised countries for contracts which are either Calvo, Taylor or Time-dependent. We then use autocorrelations and impulse-response functions to determine their ability to fit the data.

Suggested Citation

  • Nicoletta Batini & Ryan Banerjee, 2004. "Inflation Dynamics in Seven Industrialised Open Economies," Computing in Economics and Finance 2004 116, Society for Computational Economics.
  • Handle: RePEc:sce:scecf4:116
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    Cited by:

    1. Scheufele, Rolf, 2010. "Evaluating the German (New Keynesian) Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 21(2), pages 145-164, August.
    2. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
    3. Batini, Nicoletta & Justiniano, Alejandro & Levine, Paul & Pearlman, Joseph, 2006. "Robust inflation-forecast-based rules to shield against indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1491-1526.

    More about this item

    Keywords

    inflation dynamics; open economy; ML estimation; staggered contracts;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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