Robustness of the estimates of the hybrid New Keynesian Phillips curve

• 成果类型: Article
• 署名作者: Galí, J; Gertler, M; López-Salido, JD
• 署名单位: New York University; Pompeu Fabra University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.005
• 发表日期: 2005
• 页码: 1107-1118

摘要

Gali and Gertler [1999. Inflation dynamics: a structural econometric approach. Journal of Monetary Eonomics 44(2), 195-222] developed a hybrid variant of the New Keynesian Phillips curve that relates inflation to real marginal cost, expected future inflation and lagged inflation. GMM estimates of the model suggest that forward-looking behavior is dominant: the coefficient on expected future inflation substantially exceeds the coefficient on lagged inflation. While the latter differs significantly from zero, it is quantitatively modest. Several authors have suggested that our results are the product of specification bias or suspect estimation methods. Here we show that these claims are incorrect, and that our results are robust to a variety of estimation procedures, including GMM estimation of the closed form, and nonlinear instrumental variables. Also, as we discuss, many others have obtained very similar results to ours using a systems approach, including FIML techniques. Hence, the conclusions of GG and others regarding the importance of forward-looking behavior remain robust. (c) 2005 Elsevier B.V. All rights reserved.