Logo
Munich Personal RePEc Archive

Autoregression-Based Estimation of the New Keynesian Phillips Curve

Lanne, Markku and Luoto, Jani (2011): Autoregression-Based Estimation of the New Keynesian Phillips Curve.

[thumbnail of MPRA_paper_29801.pdf]
Preview
PDF
MPRA_paper_29801.pdf

Download (240kB) | Preview

Abstract

We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1-2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process.

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.