New tests of the new-Keynesian Phillips curve

• 成果类型: Article
• 署名作者: Rudd, J; Whelan, K
• 署名单位: European Central Bank; Central Bank of Ireland
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.006
• 发表日期: 2005
• 页码: 1167-1181
• 关键词: inflation; Phillips curve

摘要

Lagged dependent variables typically play an important role in empirical models of inflation. Do these lags reflect backward-looking inflation expectations, or do they proxy for rational forward-looking expectations, as in the new-Keynesian Phillips curve? Gali and Gertler [1999. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44, 195-222] attempt to answer this question using GMM to estimate specifications incorporating both lagged and future inflation. They report small coefficients on lagged inflation and conclude that the new-Keynesian model provides a good first approximation to inflation dynamics. We show that these tests have low power against alternative backward-looking specifications, and demonstrate that their results are also consistent with a backward-looking Phillips curve. Using an alternative approach, we find that the new-Keynesian pricing model cannot explain the importance of lagged inflation in standard inflation regressions, and find that forward-looking terms play a very limited role in explaining inflation dynamics. (c) 2005 Elsevier B.V. All rights reserved.