Arbeitspapier

Testing the New Keynesian Model on U.S. and Euro Area Data

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I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series data. I find that the restrictions implied by the core equations of the NK-model are rejected regardless of sample periods or measures of real marginal costs. I also provide a tentative explanation of the results favored by previous researches.

Language: Englisch

Bibliographic citation: Series: Economics Discussion Papers ; No. 2008-23

Classification: Wirtschaft
Model Evaluation, Validation, and Selection
Monetary Policy
Price Level; Inflation; Deflation
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

Subject: New Keynesian Phillips curve
cointegration
vector autoregressive model
New-Keynesian Phillips Curve
Rationale Erwartung
Kointegration
VAR-Modell
Schätzung
USA
EU-Staaten

Event: Geistige Schöpfung

(who): Juselius, Mikael

Event: Veröffentlichung

(who): Kiel Institute for the World Economy (IfW)

(where): Kiel

(when): 2008

Handle: http://hdl.handle.net/10419/17995

Last update: 10.03.2025, 11:45 AM CET

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Object type

Arbeitspapier

Associated

Juselius, Mikael
Kiel Institute for the World Economy (IfW)

Time of origin

2008

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