The New Keynesian Phillips Curve revisited

Arbeitspapier

Recently, several authors have questioned the evidence claimed by Galí and Gertler (1999) and Galí, Gertler and López-Salido (2001) that a hybrid version of the New Keynesian Phillips Curve approximates European and US inflation dynamics quite well. We re-examine the evidence using likelihood-based methods. Although including lagged inflation enhances the empirical fit, the improvement is not large enough to yield a model that passes a likelihood ratio test. We also show that the likelihood surface is rather flat, especially in the European case, indicating that the model may be weakly identified as criticised by others using alternative methods.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Papers ; No. 500

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Price Level; Inflation; Deflation
• Thema: European and US inflation ; the New Keynesian Phillips Curve ; vector autoregressive models and likelihood ratio tests

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Boug, Pål ; Cappelen, Ådne ; Swensen, Anders Rygh
• Ereignis: Veröffentlichung
• (wer): Statistics Norway, Research Department
• (wo): Oslo
• (wann): 2007

Weitere Informationen

• Handle: http://hdl.handle.net/10419/192482
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ