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作者：Batini, N; Jackson, B; Nickell, S
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York; University of London; London School Economics & Political Science; Bank of England
摘要：We estimate a pricing equation or new Keynesian Phillips curve (NKPC) obtained from a structural dynamic model of price setting based on Rotemberg [1982. Sticky prices in the United States. Journal of Political Economy 90(6), 1187-1211] and extended to capture employment adjustment costs and the openness of the United Kingdom. This model nests the baseline Gali and Gertler [1999. Inflation dynamics: a structural econometric analysis. Quarterly Journal of Economics 110, 127-159] and Sbordone [2...
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作者：Rudd, J; Whelan, K
作者单位：European Central Bank; Central Bank of Ireland
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. Th...
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作者：Galí, J; Gertler, M; López-Salido, JD
作者单位：New York University; Pompeu Fabra University; National Bureau of Economic Research
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 significan...
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作者：Lindé, J
作者单位：Sveriges Riksbank
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 maximu...
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作者：Sbordone, AM
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This article discusses a more general interpretation of the two-step minimum distance estimation procedure proposed in Sbordone (2002). The estimator is again applied to a version of the New Keynesian Phillips curve, where inflation dynamics are driven by the expected evolution of marginal costs. The article clarifies econometric issues, addresses concerns about uncertainty and model misspecification raised in recent studies, and assesses the robustness of previous results. While confirming th...
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作者：Kurmann, A
作者单位：University of Quebec; University of Quebec Montreal
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...
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作者：King, RG; Plosser, CI
作者单位：Boston University; University of Rochester
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作者：Dufourt, F
作者单位：Universites de Strasbourg Etablissements Associes; Universite de Strasbourg
摘要：Standard stochastic growth models provide theoretical restrictions on output decomposition which can be used to investigate whether productivity shocks played a major role in observed business cycles. Applying these restrictions to US data leads to the following findings: (i) Business cycles implied by productivity shocks are mildly correlated to overall fluctuations and help account for a few episodes of US postwar recessions. However, only 20% of US fluctuations can be explained by these sho...
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作者：Bouakez, H; Cardia, E; Ruge-Murcia, FJ
作者单位：Universite de Montreal; Universite de Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal
摘要：The dynamic effects and relative importance of monetary shocks in the US business cycle are studied using a sticky-price dynamic stochastic general equilibrium model with habit formation and capital adjustment costs. The model is estimated via maximum likelihood using data on output, real money balances, and the nominal interest rate. Econometric results indicate that the model has a strong internal propagation mechanism that can explain the persistent and hump-shaped response of US output and...
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作者：Rabanal, P; Rubio-Ramírez, JF
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; International Monetary Fund
摘要：The baseline New Keynesian model cannot replicate the observed persistence in inflation, output, and real wages for sensible parameter values. As a result, several extensions have been suggested to improve its fit to the data. We use a Bayesian approach to estimate and compare the baseline sticky price model of Calvo's [1983. Staggered prices in a utility maximizing framework. Journal of Monetary Economics 12, 383-398.] and three extensions. Our empirical results are as follows. First, we find...
