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New tests of the New-Keynesian Phillips curve
Rudd, Jeremy; Whelan, Karl - Federal Reserve Board (Board of Governors of the … - 2001
Is the observed correlation between current and lagged inflation a function of backward-looking inflation expectations, or do the lags in inflation regressions merely proxy for rational forward-looking expectations, as in the new-Keynesian Phillips curve? Recent research has attempted to answer...
Persistent link: https://www.econbiz.de/10005720983
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How well does the New Keynesian sticky-price model fit the data?
Roberts, John M. - Federal Reserve Board (Board of Governors of the … - 2001
The New Keynesian sticky-price model has become increasingly popular for monetary-policy analysis. However, there have been conflicting results on the empirical performance of the model. In this paper, I attempt to reconcile these conflicting claims by examining various specifications of the...
Persistent link: https://www.econbiz.de/10005721034
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Does the labor share of income drive inflation?
Rudd, Jeremy; Whelan, Karl - Federal Reserve Board (Board of Governors of the … - 2002
Woodford (2001) has presented evidence that the new-Keynesian Phillips curve fits the empirical behavior of inflation well when the labor income share is used as a driving variable, but fits poorly when deterministically detrended output is used. He concludes that the output gap--the deviation...
Persistent link: https://www.econbiz.de/10005721227
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Can rational expectations sticky-price models explain inflation dynamics?
Rudd, Jeremy; Whelan, Karl - Federal Reserve Board (Board of Governors of the … - 2003
The canonical inflation specification in sticky-price rational expectations models (the new-Keynesian Phillips curve) is often criticized on the grounds that it fails to account for the dependence of inflation on its own lags. In response, many recent studies have employed a "hybrid"...
Persistent link: https://www.econbiz.de/10005721274
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The reliability of inflation forecasts based on output gap estimates in real time
Orphanides, Athanasios; Norden, Simon van - Federal Reserve Board (Board of Governors of the … - 2004
A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap...
Persistent link: https://www.econbiz.de/10005393999
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What's happened to the Phillips curve?
Brayton, Flint; Roberts, John M.; Williams, John C. - Federal Reserve Board (Board of Governors of the … - 1999
The simultaneous occurrence in the second half of the 1990s of low and falling price inflation and low unemployment … depends on the unemployment rate, past inflation, and conventional measures of price supply shocks. We show that, in such a … the unemployment rate with capacity utilization. Although this change leads to more accurate inflation predictions in the …
Persistent link: https://www.econbiz.de/10005394042
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Real wage dynamics and the Phillips curve
Whelan, Karl - Federal Reserve Board (Board of Governors of the … - 2000
inflation to the unemployment rate and then invoked markup pricing and adaptive expectations to generate the accelerationist … in price inflation and the unemployment rate is consistent with any type of microeconomic real wage dynamics. However …
Persistent link: https://www.econbiz.de/10005394085
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A quantitative comparison of sticky-price and sticky-information models of price setting
Kiley, Michael T. - Federal Reserve Board (Board of Governors of the … - 2006
I estimate sticky-price and sticky-information models of price setting for the United States via maximum-likelihood techniques, reaching several conclusions. First, the sticky-price model fits best, and captures inflation dynamics as well as reduced-form equations once hybrid-behavior is...
Persistent link: https://www.econbiz.de/10005513114
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NAIRU uncertainty and nonlinear policy rules
Meyer, Laurence H.; Swanson, Eric T.; Wieland, Volker W. - Federal Reserve Board (Board of Governors of the … - 2001
response to changes in the unemployment rate. This paper offers a theoretical justification for such a nonlinear policy rule …
Persistent link: https://www.econbiz.de/10005720987
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The information content of the embedded deflation pption in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - Federal Reserve Board (Board of Governors of the … - 2011
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...
Persistent link: https://www.econbiz.de/10009395282