Priors and the Slope of the Phillips Curve
Callum Jones,
Mariano Kulish and
Juan Pablo Nicolini
Additional contact information
Juan Pablo Nicolini: Federal Reserve Bank of Minneapolis/Universidad Di Tella
No 165, Working Papers from Red Nacional de Investigadores en Economía (RedNIE)
Abstract:
The slope of the Phillips curve in New Keynesian models is difficult to estimate using aggregate data. We show that in a Bayesian estimation, the priors placed on the parametersgoverning nominal rigidities significantly influence posterior estimates and thus inferences about the importance of nominal rigidities. Conversely, we show that priors play a negligible role in a New Keynesian model estimated using state-level data. An estimation with state-level data exploits a relatively large panel dataset and removes the influence of endogenous monetary policy
Keywords: Slope of the Phillips curve; priors; Bayesian estimation; state-level data (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2022-08
New Economics Papers: this item is included in nep-dge
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https://rednie.eco.unc.edu.ar/files/DT/165.pdf (application/pdf)
Related works:
Working Paper: Priors and the Slope of the Phillips Curve (2021) 
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Persistent link: https://EconPapers.repec.org/RePEc:aoz:wpaper:165
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