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

John Mikael Juselius

Economics - The Open-Access, Open-Assessment E-Journal, 2008, vol. 2, issue 24, pages 1-26

Abstract: 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. --

Keywords: New Keynesian Phillips curve; cointegration; vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C52 E52 E31 C32 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.5018/economics-ejournal.ja.2008-24
http://econstor.eu/bitstream/10419/18037/1/economics_2008-24.pdf (application/pdf)

Related works:
Working Paper: Testing the New Keynesian Model on U.S. and Euro Area Data (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:zbw:ifweej:7350

Access Statistics for this article

Economics - The Open-Access, Open-Assessment E-Journal is edited by Dennis J. Snower

More articles in Economics - The Open-Access, Open-Assessment E-Journal from Kiel Institute for the World Economy
Contact information at EDIRC.
Series data maintained by ZBW - German National Library of Economics ().