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The U.S. New Keynesian Phillips Curve: An Empirical Assessment

Alain Guay () and Florian Pelgrin

Staff Working Papers from Bank of Canada

Abstract: The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC). The authors address several important econometrics issues that arise in estimating the NKPC model. Using the continuously updated generalized method of moments (GMM) estimator proposed by Hansen, Heaton, and Yaron (1996) and the three-step GMM estimator developed by Bonnal and Renault (2003), the authors find that the empirical evidence for the real marginal cost is rather weak. Specifically, results are sensitive to the instrument sets, normalization, estimators, sample period, and data revisions.

Keywords: Inflation and prices; Econometric and statistical methods (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 and nep-mon
Date: 2004
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