Estimating a high-frequency New-Keynesian Phillips curve

Steffen Ahrens and Stephen Sacht

Empirical Economics, 2014, vol. 46, issue 2, 607-628

Abstract: This paper estimates a high-frequency New-Keynesian Phillips curve via the generalized method of moments. Allowing for higher-than-usual frequencies strongly mitigates the problems of small-sample bias and structural breaks. Applying a daily frequency allows us to obtain estimates for the Calvo parameter of nominal rigidity over a very short period—for instance for the recent financial and economic crisis—which can then be easily transformed into their low-frequency equivalences. With Argentine data from the end of 2007 to the beginning of 2011 we estimate the daily Calvo parameter and find that on average prices remain fixed for approximately two to three months which is in line with recent microeconomic evidence. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Calvo staggering; High-frequency New-Keynesian model; GMM; C26; E31 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-013-0684-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Estimating a high-frequency New Keynesian Phillips curve (2011)
Working Paper: Estimating a high-frequency New-Keynesian Phillips curve (2011)
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: https://EconPapers.repec.org/RePEc:spr:empeco:v:46:y:2014:i:2:p:607-628

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-013-0684-7

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().