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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 the variables are non-stationary. The idea is to use a VAR for both the inflation rate and the explanatory variables 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.



Item Type: MPRA Paper -

Institution: Department of Statistics, University of Bologna-

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

Language: English-

Keywords: Inflation dynamics; Forecast model; New Keynesian Phillips Curve; Forward-looking behavior; VAR expectations-

Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsE - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; DeflationC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection-





Autor: Fanelli, Luca

Fuente: https://mpra.ub.uni-muenchen.de/2380/







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