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Robust Estimates of the New Keynesian Phillips Curve

Author

Listed:
  • Paul Levine

    (University of Surrey)

  • Luis F. Martins

    (Department of Quantitative Methods, ISCTE, Portugal)

  • Vasco J. Gabriel

    (University of Surrey and NIPE-UM)

Abstract

In this paper, we examine the hybrid specification of the New Keynesian Phillips Curve (NKPC) proposed by Gali and Gertler (1999) by employing recently developed momentconditions inference procedures. These methods provide a more efficient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of parameter identification, providing robust estimates and confidence sets for the model’s parameters. Our results show that the NKPC remains a valid and reliable empirical tool to explain inflation dynamics.

Suggested Citation

  • Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
  • Handle: RePEc:sur:surrec:0206
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    File URL: https://repec.som.surrey.ac.uk/2006/DP02-06.pdf
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    References listed on IDEAS

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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. Vasilev, Aleksandar, 2015. "New Keynesian Phillips Curve Estimation: The Case of Hungary (1981–2006)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 355-367.

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    More about this item

    Keywords

    price regulation; commitment problem; ratchet effect; under-investment;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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