Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve
Mark Gertler () and
David Lopez-Salido ()
No 520, Working Papers from Banco de España, Working Papers Homepage
Galí and Gertler (1999) developed a hybrid variant of the New Keynesian Phillips curve that relates inflation to real marginal cost, expected future inflation and lagged inflation. GMM estimates of the model suggest that forward looking behavior is dominant: The coefficient on expected future inflation substantially exceeds the coefficient on lagged inflation. While the latter differs significantly from zero, it is quantitatively modest. Several authors have suggested that our results are the product of specification bias or suspect estimation methods. Here we show that these claims are incorrect, and that our results are robust to a variety of estimation procedures, including GMM estimation of the closed form, and nonlinear instrumental variables. Also, as we discuss, many others have obtained very similar results to ours using a systems approach, including FIML techniques. Hence, the conclusions of GG and others regarding the importance of forward looking behavior remain robust.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (254) Track citations by RSS feed
Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/05/Fic/dt0520e.pdf First version, August 2005 (application/pdf)
Journal Article: Robustness of the estimates of the hybrid New Keynesian Phillips curve (2005)
Working Paper: Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve (2005)
Working Paper: Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0520
Access Statistics for this paper
More papers in Working Papers from Banco de España, Working Papers Homepage Contact information at EDIRC.
Bibliographic data for series maintained by María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España ().