Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis

Jean-Marie Dufour (), Lynda Khalaf and Maral Kichian

Working Papers from Bank of Canada

Abstract: The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. They focus on Galí and Gertler's (1999) specification, for both U.S. and Canadian data. Two variants of the model are studied: one based on a rational-expectations assumption, and a modification to the latter that uses survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behaviour, and (iii) the frequency of price adjustment. Overall, the authors find that there is some support for the hybrid NKPC for the United States, whereas the model is not suited to Canada. Their findings underscore the need for employing identification-robust inference methods in the estimation of expectations-based dynamic macroeconomic relations.

Keywords: Econometric and statistical methods; Inflation and prices (search for similar items in EconPapers)
JEL-codes: C13 C52 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2005
View list of references View citations in EconPapers

Downloads: (external link)
http://www.bankofcanada.ca/en/res/wp/2005/wp05-27.pdf

Related works:
Working Paper: Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis (2005)
Working Paper: Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis (2005)
Journal Article: Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis (2006)
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:bca:bocawp:05-27

Ordering information: This working paper can be ordered from
Publications Distribution, Bank of Canada, 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
http://www.bank-banq ... ication/pub_res.html

Access Statistics for this paper

More papers in Working Papers from Bank of Canada
Address: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Series data maintained by ().