THE NEW KEYNESIAN PHILLIPS CURVE IN A TIME-VARYING COEFFICIENT ENVIRONMENT: SOME EUROPEAN EVIDENCE

George Hondroyiannis, P.A.V.B. Swamy and George Tavlas

Macroeconomic Dynamics, 2009, vol. 13, issue 2, 149-166

Abstract: We examine whether the importance of lagged inflation in the New Keynesian Phillips Curve (NKPC) may be a result of specification biases. NKPCs are estimated for four countries: France, Germany, Italy, and the United Kingdom. Using time-varying coefficient (TVC) estimation, a procedure that can deal with possible specification biases, we find support for the NKPC model that excludes lagged inflation. Our results indicate a Phillips-curve relationship for the countries considered that does not contain an inertial element.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:13:y:2009:i:02:p:149-166_07

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