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Downward Nominal Wage Rigidity and Optimal Inflation Target
Aktug, Emrehan - 2023
I investigate the welfare maximizing steady-state inflation rate in a heterogeneous-agent New Keynesian model with Downward Nominal Wage Rigidity (DNWR). After matching the annual wage change distribution in the U.S., I show that DNWR has a very significant impact on the economy when the...
Persistent link: https://www.econbiz.de/10014257264
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Do Multisectoral New Keynesian Models Match Sectoral Data?
Andrade, Philippe; Sheremirov, Viacheslav - 2022
We document empirical regularities of disaggregated inflation and consumption and study whether multisectoral New Keynesian models can explain them. We focus on higher moments of the inflation and consumption growth distributions as well as on the contemporaneous comovement of these two...
Persistent link: https://www.econbiz.de/10014242593
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On household labour supply in sticky-wage HANK models
Gerke, Rafael; Giesen, Sebastian; Lozej, Matija; … - 2024 - November 24, 2023
Heterogeneous-agent New Keynesian models with sticky nominal wages usually assume that wage-setting unions demand the same amount of hours from all households. As a result, unions do not take account of the fact that (i) households are heterogeneous in their willingness to work, and that (ii)...
Persistent link: https://www.econbiz.de/10014467926
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Rethinking conflict inflation : the hybrid Keynesian-NAIRU character of the conflict Phillips curve
Palley, Thomas I. - 2024 - Revised March 2024
This paper presents a new formulation of conflict inflation labeled the "pass-through" approach, which contrasts with the existing "pressure balance" approach. The model generates Phillips styled inflation - unemployment dynamics that are a hybrid of Keynesian and NAIRU dynamics. Conflict...
Persistent link: https://www.econbiz.de/10014529512
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Inflation dynamics and exchange rate pass-through in Nigeria : evidence from augmented nonlinear new Keynesian Philips Curve
Bello, Usman A.; Sanusi, Aliyu Rafindadi - In: CBN journal of applied statistics 10 (2019) 2, pp. 109-138
This paper estimates a nonlinear augmented New Keynesian Philips Curve for Nigeria using the Smooth Transition Regression model for the period 1995Q1 to 2018Q2. The empirical evidence reveals the existence of two inflation regimes during the period under review. Food inflation, energy inflation,...
Persistent link: https://www.econbiz.de/10012178169
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Unemployment and inflation regimes
Vredin, Anders; Warne, Anders - 2000
with high or low unemployment volatility. We find that MS-VAR models seem to provide a better description of the data than …
Persistent link: https://www.econbiz.de/10011584800
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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Is the Phillips Curve Still Alive?
Reinbold, Brian; Wen, Yi - 2020
Persistent link: https://www.econbiz.de/10014094429
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Communicating with many tongues : FOMC speeches and US financial market reaction
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2008
This paper studies the effects of FOMC communication on U.S. financial markets’ returns and volatility using a GARCH … and volatility is larger if the communication channel is more formal. However, since speeches happen much more often than …
Persistent link: https://www.econbiz.de/10003864447
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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10013026088