Logo
Munich Personal RePEc Archive

Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area

Fanelli, Luca (2005): Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area.

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_1617.pdf]
Preview
PDF
MPRA_paper_1617.pdf

Download (330kB) | Preview

Abstract

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 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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.