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The New Keynesian Phillips Curve: An empirical assessment

Florian Pelgrin, Alain Guay () and Richard Luger

No 418, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: The recent works of Gali and Gertler (1999) and Gali, Gertler and Lopez-Salido (2001) provide evidence supporting the New Keynesian Phillips curve (NKPC). This model posits the dynamics of inflation as being forward-looking and related to real marginal costs. In this paper, we examine the empirical relevance of their results for the United States. Our approach addresses several important econometric issues with the standard approaches typically used for estimation and inference in NKPC models. Using the continously-updated GMM estimator proposed by Hansen, Heaton and Yaron (1996) and the 3-step GMM estimator developed by Bonnal and Renault (2003), the empirical evidence of the NKPC is rather mixed. Specifically, results are sensitive to the instruments sets, normalisation, estimators, the sample period and revisions of data

Keywords: GMM; Phillips Curve; Inflation dynamics (search for similar items in EconPapers)
JEL-codes: C13 C52 E31 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (9) Track citations by RSS feed

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Related works:
Working Paper: The U.S. New Keynesian Phillips Curve: An Empirical Assessment (2004) Downloads
Working Paper: The New Keynesian Phillips Curve: An Empirical Assessment (2004)
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