Quantifying the uncertainty about the fit of a new Keynesian pricing model

• 成果类型: Article; Proceedings Paper
• 署名作者: Kurmann, A
• 署名单位: University of Quebec; University of Quebec Montreal
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.004
• 发表日期: 2005
• 页码: 1119-1134
• 关键词: inflation; New keynesian pricing; real marginal cost

摘要

Recent studies by Gali and Gertler [1999. Inflation dynamics: a structural econometric analysis, Journal of Monetary Economics 44, 195 222] and Sbordone [2002. Prices and unit labor costs: testing models of pricing, Journal of Monetary Economics 49, 265-292] conclude that a theoretical inflation series implied by a forward-looking New Keynesian pricing equation fits post-1960 U.S. inflation closely. Their theoretical inflation series is conditional on (i) a reduced-form forecasting process for real marginal cost; and (ii) the calibration of the pricing equation. The present paper shows that both of these determinants are surrounded by considerable uncertainty. When quantifying the impact of this uncertainty on theoretical inflation, we can no longer say whether the forward-looking pricing equation explains observed inflation dynamics very well or very poorly. (c) 2005 Elsevier B.V. All rights reserved.