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Inflation Forecasts and the New Keynesian Phillips Curve

Brissimis, Sophocles N.; Magginas, Nicholas S. - Bank of Greece - 2006

The ability of the New Keynesian Phillips curve to explain US inflation dynamics when official central bank forecasts (Greenbook forecasts) are used as a proxy for inflation expectations is examined. The New Keynesian Phillips curve is estimated on quarterly data spanning the period...

Persistent link: https://www.econbiz.de/10005523517

ASYMMETRIES IN THE CAPACITY-INFLATION TRADE-OFF

LOIS, PEDRO PABLO ALVAREZ - Departament d'Economia i Història Econòmica, … - 2000

This paper analyzes the joint dynamics of two key macroeconomic variables for the conduct of monetary policy: inflation and the aggregate capacity utilization rate. An econometric procedure useful for estimating dynamic rational expectation models with unobserved components is developed and...

Persistent link: https://www.econbiz.de/10005572146

Unemployment and Inflation Regimes

Vredin, Anders; Warne, Anders - Sveriges Riksbank - 2000

In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. We find that...

Persistent link: https://www.econbiz.de/10005649038

The New Keynesian Phillips Curve Tested on OECD Panel Data

Bjørnstad, Roger; Nymoen, Ragnar - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-18

Using a panel data set for OECD countries we replicate the typical features of the New Keynesian Phillips curve models … (NPCs) that have been estimated on country data. While this corroborates the NPC also on the macro panel data set, a …

Persistent link: https://www.econbiz.de/10005083019

Will it float? The New Keynesian Phillips curve tested on OECD panel data

Bjørnstad, Roger; Nymoen, Ragnar - Statistisk Sentralbyrå, Government of Norway - 2006

-looking behavior is robust according to GGL. We assess the NPC on a panel data set from OECD countries and find that the forward rate … of inflation dominates also on the panel data set. However, when variables consistent with alternative inflation models … the OECD panel data NPC is in alignment with a previous encompassing test on euro-area data, as well as tests on data from …

Persistent link: https://www.econbiz.de/10004980635

The New Keynesian Phillips curve tested on OECD panel data

Bjørnstad, Roger; Nymoen, Ragnar - Institut für Weltwirtschaft (IfW) - 2008

definitions and choice of data samples. In an estimation on panel data from OECD countries we replicate the typical empirical NPC …

Persistent link: https://www.econbiz.de/10005059042

Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data

Aron, Janine; Creamer, Kenneth; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2013

A sizeable literature examines exchange rate pass-through to disaggregated import prices but very few micro-studies focus on consumer prices. This paper explores exchange rate pass-through to consumer prices in South Africa during 2002-2007, using a unique data set of highly disaggregated data...

Persistent link: https://www.econbiz.de/10011084277

Multi-sector inflation forecasting - quarterly models for South Africa

Aron, Janine; Muellbauer, John - Department of Economics, Oxford University - 2008

Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates), are modeled separately and forecast,...

Persistent link: https://www.econbiz.de/10011004341

A VAR Model for Monetary Policy Analysis in a Small Open Economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - Sveriges Riksbank - 1999

The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...

Persistent link: https://www.econbiz.de/10005207175

Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-26

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...

Persistent link: https://www.econbiz.de/10005082965

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