Artikel
Testing the New Keynesian Model on U.S. and Euro Area Data
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 2 ; Year: 2008 ; Issue: 2008-24 ; Pages: 1-26 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
-
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
- Thema
-
New Keynesian Phillips curve
cointegration
vector autoregressive model
New-Keynesian Phillips Curve
Rationale Erwartung
Kointegration
VAR-Modell
Schätzung
USA
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Juselius, Mikael
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2008
- DOI
-
doi:10.5018/economics-ejournal.ja.2008-24
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Juselius, Mikael
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2008
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