Inflation dynamics in the Czech Republic: Estimation of the New Keynesian Phillips curve
This paper challenges previous empirical evidence on output-inflation trade-off described in the hybrid New Keynesian Phillips curve. I estimate key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both the forward- and backward-looking inflation components, in the Czech Republic for the periods 2000Q1 - 2012Q4 using Kalman filtration. My findings come to surprising conclusions that (i) output gap has a (statistically) significant impact on Czech inflation dynamics (ii) there is a reversal in behavior of Czech agents, where share of forward-looking agents predominates over backward-looking ones in the Czech Republic and (iii) Czech inflation might be significantly driven by change in import prices. In addition, all my results come statistically significant and correctly sign-oriented, which contradicts majority of existing empirical evidence on output-inflation trade-off in the Czech Republic.
Year of publication: |
2014
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Authors: | Milučká, Daniela |
Published in: |
International Journal of Economic Sciences. - Vysoká Škola Ekonomická v Praze, ISSN 1804-9796. - Vol. 2014.2014, 2, p. 53-70
|
Publisher: |
Vysoká Škola Ekonomická v Praze |
Subject: | NA | inflation | output-inflation trade-off | inflation expectations | Kalman filtration | state space model |
Saved in:
freely available
Extent: | text/html |
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Type of publication: | Article |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E17 - Forecasting and Simulation ; E31 - Price Level; Inflation; Deflation ; E37 - Forecasting and Simulation ; E58 - Central Banks and Their Policies |
Source: |
Persistent link: https://www.econbiz.de/10011195094
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