The Small Open Economy New-Keynesian Phillips Curve: Specification, Structural Breaks and Robustness
Juan Aquino ()
No 2019-019, Working Papers from Banco Central de Reserva del Perú
This paper empirically assesses the concern on whether the slope of the Phillips curve with respect to the output gap has decreased (i.e. the Phillips curve has “flattened”). We derive a generalized lag-augmented version of the New-Keynesian Phillips Curve for a small open economy (Galí and Monacelli, 2005) in order to specify a semi-structural estimation equation. For the Peruvian economy, such equation is estimated via the Generalized Method of Moments for the Inflation-Targeting regime (January 2002 - March 2019) and the post-crisis (January 2008 - March 2019) periods. We found that the slope parameter has remained stable for both estimation periods. Moreover, the expectation channel has gained more relevance for the post-crisis period, a result that is consistent with a lower persistence of inflation dynamics. Our results are also consistent with the presence of long run nominal homogeneity across estimation samples.
Keywords: New-Keynesian Phillips curve; small open economy; Generalized Method of Moments. (search for similar items in EconPapers)
JEL-codes: C22 C51 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.bcrp.gob.pe/docs/Publicaciones/Documen ... trabajo-019-2019.pdf Application/pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden
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:rbp:wpaper:2019-019
Access Statistics for this paper
More papers in Working Papers from Banco Central de Reserva del Perú Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().