Estimating New-Keynesian Phillips curves:: A full information maximum likelihood approach

• 成果类型: Article
• 署名作者: Lindé, J
• 署名单位: Sveriges Riksbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.007
• 发表日期: 2005
• 页码: 1135-1149
• 关键词: New-Keynesian Phillips curve; rational expectations IS-curve; backward-looking Phillips curve; measurement errors; generalized method of moments; full information maximum likelihood estimation

摘要

The New-Keynesian Phillips curve has recently become an important ingredient in monetary policy models. However, using limited information methods, the empirical support for the New-Keynesian Phillips curve appear to be mixed. This paper argues, by means of Monte Carlo simulations with a simple New-Keynesian sticky price model, that single equations methods, e.g. GMM, are likely to produce imprecise and biased estimates. Then, it is argued that estimating the model with full information maximum likelihood (FIML) is a useful way of obtaining better estimates. Finally, a version of the model used in the Monte Carlo simulations is estimated on U.S. data with FIML and although the pure forward-looking New-Keynesian Phillips curve is rejected, a version with both forward- and backward-looking components provides a reasonable approximation of U.S. inflation dynamics. (c) 2005 Elsevier B.V. All rights reserved.