The U.S. New Keynesian Phillips Curve: An Empirical Assessment
Year: 2021
Type: preprint
Abstract: The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC). The authors address several important econometrics issues that arise in estimating the NKPC model. Using the continuously updated generalized method of moments (GMM) estimator proposed by Hansen, Heaton, and Yaron (1996) and the three-step GMM estimator developed by Bonnal and Renault (2003), the authors find that the empirical evidence for the real marginal cost is rather weak. Specifically, results are sensitive to the instrument sets, normalization, estimators, sample period, and data revisions.
DOI: 10.34989/swp-2004-35
Authors: Guay, Alain, Pelgrin, Florian
Institution: Bank of Canada
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1580576439