کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055372 1371490 2011 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The empirical validity of the New Keynesian Phillips curve using survey forecasts of inflation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The empirical validity of the New Keynesian Phillips curve using survey forecasts of inflation
چکیده انگلیسی

This paper investigates the performance of the New Keynesian Phillips curve when survey forecasts of inflation are used to proxy for inflation expectations. Previous authors such as Brissimis and Magginas (2008) have applied survey measures of inflation expectations to the NKPC, and have concluded that these estimates are superior to those estimated using actual data on future inflation. However this approach employs the use of the labor income share as the proxy for real marginal cost, something which is highly problematic once we consider the countercyclicality of this variable. This paper develops and tests a procyclical marginal cost variable alongside various survey measures of inflation forecasts in the NKPC, while recognizing the problem of weak instruments that occurs when estimating the model using conventional GMM. We find that the NKPC produces a counter-intuitive negative and significant coefficient on procyclical marginal cost when surveys of inflation forecasts are used, which casts serious doubt on the empirical viability of the NKPC model, even when estimated with survey inflation forecasts.

► Many in the literature estimate the NKPC using survey forecasts of inflation. ► We estimate the NKPC with a new proxy for marginal cost, given adjustment costs. ► Using procyclical marginal cost yields a counter-intuitive negative coefficient. ► Therefore positive NKPC findings rely on the countercyclicality of marginal cost. ► Thus using survey measures of inflation forecasts in the NKPC is a secondary issue.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 28, Issue 6, November 2011, Pages 2439-2450
نویسندگان
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