Academic literature on the topic 'New Keynesian Phillips Curve (NKPC)'
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Journal articles on the topic "New Keynesian Phillips Curve (NKPC)"
1
Hondroyiannis, George, P. A. V. B. Swamy, and George S. Tavlas. "THE NEW KEYNESIAN PHILLIPS CURVE IN A TIME-VARYING COEFFICIENT ENVIRONMENT: SOME EUROPEAN EVIDENCE." Macroeconomic Dynamics 13, no. 2 (April 2009): 149–66. http://dx.doi.org/10.1017/s1365100508070478.
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We examine whether the importance of lagged inflation in the New Keynesian Phillips Curve (NKPC) may be a result of specification biases. NKPCs are estimated for four countries: France, Germany, Italy, and the United Kingdom. Using time-varying coefficient (TVC) estimation, a procedure that can deal with possible specification biases, we find support for the NKPC model that excludes lagged inflation. Our results indicate a Phillips-curve relationship for the countries considered that does not contain an inertial element.
2
Satti, Ahsan Ul Haq, Wasim Shahid Malik, and Ghulam Saghir. "New Keynesian Phillips Curve for Pakistan." Pakistan Development Review 46, no. 4II (December 1, 2007): 395–404. http://dx.doi.org/10.30541/v46i4iipp.395-404.
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Recently macroeconomists have moved to a new neo-classical synthesis by integrating Keynesian features like imperfect competition and nominal rigidities with dynamic stochastic general equilibrium model of the Real Business Cycle Theory with micro foundations and rational expectations, [see, for instance, McCallum and Nelson (1999)]. The standard model comprises of a trinity; consumption and inflation adjustment equations with a monetary authority’s reaction function. One of the pillar of the modelinflation adjustment equation, also known as New Keynesian Phillips Curve (NKPC) in the literature, has at least two important features; unlike the traditional Phillips curve the NKPC is forward-looking; and it has been derived from the profit maximising behaviour of the firms in a monopolistically competitive market structure.
3
Menyhért, B. "Estimating the Hungarian New-Keynesian phillips curve." Acta Oeconomica 58, no. 3 (September 1, 2008): 295–318. http://dx.doi.org/10.1556/aoecon.58.2008.3.3.
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This paper estimates the hybrid New-Keynesian Phillips curve (NKPC) for Hungary with different techniques. Because of weak instruments, single-equation GMM estimations yield very unreliable results. More robust methods show that basically no statistical inference is possible as to the true specification of the inflation dynamics. However, a more efficient simultaneous-equations method, the full information maximum likelihood (FIML) estimator provides identified parameters. Furthermore, coefficient estimates on the driving variable are positive and significant for the first time, lending much-needed empirical support in favour of the New-Keynesian model. Inflation appears to be determined to an equal extent by past inflation and forward-looking expectations. Structural analysis yields realistic estimates for the frequency of price adjustments and suggests that the dominant price setting behaviour is backward-looking.
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Guerrieri, Luca, Christopher Gust, and J. David López-Salido. "International Competition and Inflation: A New Keynesian Perspective." American Economic Journal: Macroeconomics 2, no. 4 (October 1, 2010): 247–80. http://dx.doi.org/10.1257/mac.2.4.247.
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We develop and estimate an open economy New Keynesian Phillips Curve (NKPC) in which variable demand elasticities give rise to movements in desired markups in response to changes in competitive pressure from abroad. A parametric restriction yields the standard NKPC under constant elasticity and no role for foreign competition to influence domestic inflation. Foreign competition plays an important role in accounting for the behavior of traded goods price inflation. Foreign competition accounted for more than half of a 4 percentage point decline in domestic goods price inflation in the 1990s. Our results also provide evidence against demand curves with a constant elasticity. (JEL E12, E22, E31, F14, F41)
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Wardhono, Adhitya, M. Abd Nasir, Ciplis Gema Qori’ah, and Yulia Indrawati. "Movement of Inflation and New Keynesian Phillips Curve in ASEAN." Economies 9, no. 1 (March 10, 2021): 34. http://dx.doi.org/10.3390/economies9010034.
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The development of the theory of dynamic inflation begins by linking wage inflation and unemployment. In further developments, factor of expectation is classified into inflation model. The study used inflation data is important for ASEAN, because ASEAN is one of the strengths of the international economy. This study analyzes the dynamics of inflation in the ASEAN using framework the New-Keynesian Phillips Curve (NKPC) model. The data used is the quarterly panel data from 5 ASEAN members in the period 2005.QI–2018.QIV. The study of this dynamic inflation applies quarter to quarter inflation data, meaning that the inflation rate is the percentage change in the general price of the current quarter compared to last quarter general price divided by the last quarter. The empirical results are estimated by using the Generalized Method of Moment (GMM), both of the system and first different indicates that the pattern formation of inflation expectations are backward-looking and forward-looking. In addition, the estimated NKPC models show the backward-looking behavior is more dominant than the forward looking. Changes in inflation are not entirely influenced by expectations of inflation in each country. Changes in inflation are also influenced by the output gap, changes in money supply, and exchange rate. Based on the findings of this study, it can be concluded that the NKPC models can explain the dynamics of inflation in each country in the ASEAN region.
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Pontiggia, Dario. "Phillips curve and long-run inflation under commitment." Journal of Economic Studies 47, no. 1 (January 1, 2020): 21–35. http://dx.doi.org/10.1108/jes-06-2018-0229.
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PurposeThe purpose of this paper is to study the optimal long-run rate of inflation in the presence of a hybrid Phillips curve, which nests a purely backward-looking Phillips curve and the purely forward-looking New Keynesian Phillips curve (NKPC) as special limiting cases.Design/methodology/approachThis paper derives the long-run rate of inflation in a basic New Keynesian (NK) model, characterized by sticky prices and rule-of-thumb behavior by price setters. The monetary authority possesses commitment and its objective function stems from an approximation to the utility of the representative household.FindingsCommitment solution for the monetary authority leads to steady-state outcomes in which inflation, albeit small, is positive. Rising from zero under the purely forward-looking NKPC, the optimal long-run rate of inflation reaches its maximum under the purely backward-looking Phillips curve. In this case, inflation bias arises, while, under the hybrid Phillips curve, positive long-run inflation is associated with an output gain.Research limitations/implicationsThis paper serves as a clarification against the misperception that log-linearized models take as given the steady-state inflation rate rather than being capable of determining it. Analysis is sensitive to the basic NK setting, with the assumed rule-of-thumb behavior by price setters and price staggering.Originality/valueThe results are the first to quantify the optimal long-run rate of inflation in a fully microfounded model that nests different Phillips curves.
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Cogley, Timothy, and Argia M. Sbordone. "Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve." American Economic Review 98, no. 5 (November 1, 2008): 2101–26. http://dx.doi.org/10.1257/aer.98.5.2101.
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Purely forward-looking versions of the New Keynesian Phillips curve (NKPC) generate too little inflation persistence. Some authors add ad hoc backward-looking terms to address this shortcoming. We hypothesize that inflation persistence results mainly from variation in the long-run trend component of inflation, which we attribute to shifts in monetary policy. We derive a version of the NKPC that incorporates a time-varying inflation trend and examine whether it explains the dynamics of inflation. When drift in trend inflation is taken into account, a purely forward-looking version of the model fits the data well, and there is no need for backward-looking components. (JEL E12, E31, E52)
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Deno Hervino, Aloysius. "A hybrid model of new Keynesian Phillips Curve: An application in Indonesia." Journal of Economics, Business & Accountancy Ventura 18, no. 3 (December 30, 2015): 311. http://dx.doi.org/10.14414/jebav.v18i3.502.
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This study attempts to prove whether inflation dynamics in Indonesia can be explained by the hybrid model of New Keynesian Phillips Curve (NKPC). Output gap variable and dummy variable are also incorporated in this study as the external shock of the increase in fuel oil prices in 2004. By using a steady state model, it can be concluded that inflation dynamics in Indonesia could be explained by the hybrid model of NKPC. The variable of forward looking has significant effect on inflation dynamics, but the variable of inflationary pressure (output gap) has no significant effect on inflation dynamics. In addition, the increase in fuel oil prices in 2004 also gives pressure on the inflation rate, but when interacting with the variable of inflation (backward and forward), it even reduces its pressure on the inflation rate.
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Kacemi, Tarek, and Sallahuddin Hassan. "Inflation dynamics analysis in selected MENA countries." Pakistan Journal of Humanities and Social Sciences 6, no. 2 (June 30, 2018): 160–68. http://dx.doi.org/10.52131/pjhss.2018.0602.0040.
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The current paper analyses the new Keynesian Phillips curve (NKPC) in the context of selected MENA countries over the 1990-2016 period. This study has used Pooled Mean Group (PMG) and Fully Modified Ordinary Least Square (FMOLS) estimation methods for the empirical analysis. For the dynamic heterogeneous panels, PMG developed by Pesaran et al. (1999) is the most suitable technique. The outcomes by FMOLS asserted that inflation and unemployment are unrelated in the long run, corroborating the long run Philips Curve theory. While, the empirical outcomes obtained by PMG indicate negative linkage between unemployment and inflation in the long run. Nevertheless, the notion of the tradeoff between the inflation and unemployment that expressed by a short-run Phillips curve is not observed in the selected MENA countries. The findings of this study corroborate the hybrid version of NKPC. Moreover, it establishes of the study suggest that the dynamic inflation can be used as a HNKPC model for understanding the inflation behavior in selected MENA countries.
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Salunkhe, Bhavesh, and Anuradha Patnaik. "Inflation Dynamics and Monetary Policy in India: A New Keynesian Phillips Curve Perspective." South Asian Journal of Macroeconomics and Public Finance 8, no. 2 (August 28, 2019): 144–79. http://dx.doi.org/10.1177/2277978719861186.
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The present study estimates various specifications of the New Keynesian Phillips Curve (NKPC) models for India over 1996Q2 to 2017Q2 using Consumer Price Index (CPI) and Wholesale Price Index (WPI) inflation, separately. The empirical results suggest that the data support all the specifications of the Phillips curve models based on both the CPI and WPI inflations. However, the backward looking and hybrid models provide robust results for both the inflation indices. While the forward-looking behaviour dominates the CPI inflation trajectory, the backward-looking behaviour greatly influences the trajectory of WPI inflation. Also, a small-to-moderate degree of persistence is evident in both the CPI and WPI inflation. The output gap, which mainly represents the demand side pressures, turns up the major force determining both the CPI and WPI inflations. Besides the output gap, real effective exchange rate (reer), international crude oil price inflation, global non-fuel commodity price inflation and rainfall have a modest impact on the CPI and WPI inflations. JEL Classification: E12, E52, C36, C14
Dissertations / Theses on the topic "New Keynesian Phillips Curve (NKPC)"
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Eruygur, Aysegul. "Analysis Of Inflation Dynamics In Turkey: A New Keynesian Phillips Curve Approach." Phd thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613065/index.pdf.
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The main aim of this thesis is to explain the inflation dynamics in Turkey
within a theoretically consistent empirical framework. The New Keynesian
Phillips Curve (NKPC) is chosen as the basis model for our analysis because,
by describing the inflation process within an intertemporal optimizing dynamic
general equilibrium model, it provides a rigorous analytical groundwork for
credible welfare and policy analysis. We have contributed to the literature by
developing a NKPC formulation that is novel in the literature: A constant
elasticity of substitution (CES) type of production function incorporating
imported and domestically produced intermediate goods was combined with
incomplete exchange rate pass through to import prices. The short-run inflation
dynamics were analyzed within the context of this new specification by
estimating the model&rsquos highly nonlinear structural parameters that capture the price-setting behavior in Turkey for period 1988:1 - 2009:4. Our findings suggest that this NKPC formulation can explain the 1994 and 2000-01 crises as well as the current environment of low inflation achieved with the adoption of the implicit and fully fledged inflation targeting regimes quite well. As a policy application we explored the effects of the inflation targeting framework adopted after the 2000-01 crises on the parameters characterizing the inflation process in Turkey. The subsample econometric results suggested that the inflation targeting framework applied was quite successful in decreasing inflation inertia in Turkey. Thus, should the success of the inflation targeting regime continue, this should be taken as an opportunity to reduce inflation substantially with very low output losses.
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Bukhari, Syed Kalim Hyder. "Heterogeneity, marginal cost and New Keynesian Phillips Curve." Thesis, University of Leicester, 2015. http://hdl.handle.net/2381/35930.
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The purpose of the thesis is to introduce novel measure of real marginal cost in the New Keynesian Phillips Curve (NKPC) and compares its performance with conventional mea- sures such as output gap and labour share of income. Real marginal cost is derived from a flexible function whereas labour share is based on restrictive assumption of Cobb-Douglas technology. Dynamic correlations and results of NKPC indicate that real marginal cost is better than ad hoc measure of output gap and labour share. Given the heterogeneity in price setting behaviour across sectors, cost functions and NKPC are estimated for the agriculture, manufacturing and other sectors of Pakistan's economy. Real marginal cost is derived from static and dynamic cost functions. In the presence of adjustment costs, dynamic cost functions that are consistent and integrated with their static systems are required. Such dynamic translog cost functions are estimated after testing the theoretical properties and existence of long term relationships in the static functions. Cost attributes, marginal cost, total factor productivity, technological progress, demand and substitution elasticities are derived from static and dynamic functions. Three specifications of forward looking and hybrid form of the Phillips curves are estimated with real marginal cost, output gap and labour share. Results indicate that hybrid specifications perform better than the forward looking models in terms of goodness of fit and statistical significance. Further, comparison of Phillips curves estimated with real marginal cost, output gap and labour share indicate that real marginal cost performs better in explaining inflation dynamics in Pakistan. The results indicate that forward looking behaviour dominates and high level of nominal rigidities persists in Pakistan. Finally, hybrid form of the NKPC is estimated for a panel of sixteen Asian economies. With the consideration of heterogeneity and aggregation bias, the mean group, random coefficient and weighted average coefficients are derived from individual estimates. The unobserved time variant common factors cause cross correlation in the errors that may lead towards inconsistent estimates. Therefore, cross section averages of the explanatory and the dependent variables are augmented in hybrid specification to capture the effect of latent variables. Findings suggest that the discount factor is almost 0.94, the nominal rigidities are 33% and the weights of expected and past inflation are 66% and 33% respectively. Nominal rigidities of the Asian economies are lower than the estimates for US and Euro areas. The weights of expected and past inflation of the Asian economies are consistent with the US but lower than the estimates from the Euro areas.
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Milučká, Daniela. "INFLATION DYNAMICS IN THE CZECH REPUBLIC: ESTIMATING THE NEW KEYNESIAN PHILLIPS CURVE." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199272.
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Recent breakthrough studies by Gali and Gertler (1999), Sbordone (2002) and Roberts (2001) argue that the New Keynesian Phillips curve (based on Calvo pricing model) is empirically valid concept and they conclude that the real marginal costs are preferred driving force to output gap in inflation dynamics for open economies. Neiss and Nelson (2002) and Gali, Gertler and Salido (2001), in turn, contradict that to date, there has been only little empirical evidence to support this statement. Neiss and Nelson (2002) add that "once output gap is defined consistently with economic theory, the gap-based New Keynesian Phillips curve has a fit with data which is at least as good as the real marginal costs-based one". For this purpose, my study investigates relationship between output gap and inflation described in the hybrid New Keynesian Phillips curve. Study estimates key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both forward- and backward-looking inflation components, in the Czech Republic for periods 2000Q1 - 2012Q4 using Kalman filtration. My findings suggest that (i) output gap has a significant impact on Czech inflation dynamics (ii) share of forward-looking agents predominates to backward-looking agents in the Czech Republic and (iii) Czech inflation seems to be significantly driven by change in import prices.
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Czarnota, Alexander. "Estimating a hybrid New Keynesian Phillips curve for Sweden : An instrumental variables approach." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-415569.
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Previous estimates suggest that there has been a flattening of the Swedish Phillips curve after the global financial crisis of 2008. This apparent flattening is a global phenomenon that has led many economists to search for an explanation. Recent studies suggest that part of the apparent flattening can be explained by failure to overcome the endogeneity problem of the Phillips curve that arise from measurement error and cost-push shocks. In this study I investigate this previously unexplored potential explanation for the Swedish data by estimating a hybrid New Keynesian Phillips curve for Sweden using the instrumental variables approach of Barnichon and Mesters (2020). The approach uses a sequence of lagged monetary policy shocks as instruments and relies on weak instrument robust test statistic for inference. The point estimates vary substantially with changes in the number of lagged instruments and the weak instrument robust confidence intervals are not significant for any number of lags. This indicates that the weak instrument problem is too severe for the Swedish data to provide a practical solution to the puzzle of the Swedish Phillips curve. The conclusion from this study is therefore that is not possible to estimate an unbiased hybrid New Keynesian Phillips curve for Sweden using aggregate time series data.
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Abreu, Daniel Sebastião. "Threshold effects in the wage Phillips curve." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16573.
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Mestrado em Econometria Aplicada e PrevisãoNeste trabalho, avaliamos a capacidade da curva de Phillips salarial Neo-Keynesiana (CPSNK) proposta por Galí (2011) para descrever a inflação dos salários nos EUA durante o período 1965-2018. De forma a estudar esta relação, empregamos um modelo de regressão de limiar que nos permite examinar a existência de não-linearidades. Os nossos resultados sugerem que a taxa de inflação salarial é bem descrita por um modelo de limiar com 3 regimes em que a variável de limiar é a taxa de desemprego. As estimativas para os parâmetros de limiar dividem a CPSNK em regimes consistentes com períodos de recessão profunda, de flutuações moderadas do ciclo económico e de crescimento prolongado. Encontramos evidência empírica consistente com a relação negativa entre a inflação salarial e a taxa de desemprego prevista pela CPSNK quando a taxa de desemprego está entre os limites de 5.69% e 7.63%. Quando a taxa de desemprego está fora deste intervalo, esta relação parece desaparecer. Para avaliar a robustez das nossas estimativas, incorporamos a possível endogeneidade dos regressores e da variável de limiar ao estimar o modelo de regressão limiar estrutural proposto por Kourtellos et al. (2016). Neste contexto, concluímos que os nossos resultados não são muito diferentes quando permitimos que os regressores sejam endógenos. Por outro lado, as estimativas dos coeficientes de limiar obtidas quando a variável de limiar é considerada como endógena implicam uma redução significativa do número de observações no segundo regime.
The main purpose of this work is to evaluate the ability of the New Keynesian wage Phillips curve (NKWPC), proposed by Galí (2011), to describe U.S. wage inflation dynamics over the 1965-2018 period. To study this relationship, a threshold regression model that allows assessing the existence of regime-switching nonlinearity is employed. Our results suggest that wage inflation dynamics are well described by a 3-regime threshold model where the best threshold variable is the current unemployment rate. The estimated thresholds split the NKWPC into regimes consistent with periods of deep recessions, moderate business cycle fluctuations and prolonged expansions. We find evidence that the negative relationship between wage inflation and unemployment implied by the NKWPC holds when unemployment is between the thresholds 5.69% and 7.63%; when unemployment is outside this band the relationship seems to break down. To assess the robustness of our estimates, we account for possible endogeneity of the regressors and the threshold variable by using the structural threshold model proposed by Kourtellos et al. (2016). In this setting, we conclude that our baseline results are not very sensitive to endogeneity affecting the regressors. In contrast, the threshold estimates obtained when the threshold variable is considered as endogenous yield a substantial reduction in the number of observations in the second regime.
info:eu-repo/semantics/publishedVersion
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Dřímal, Marek. "How Does the New Keynesian Phillips Curve Forecast the Rate of Inflation in the Czech Economy?" Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-198859.
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This analysis studies the phenomenon of the New Keynesian Phillips Curve - its inception from the RBC theory and DSGE modelling via incorporation of nominal rigidities, and its various specifications and empirical issues. The estimates on Czech macroeconomic data using the Generalised Method of Moments show that the hybrid New Keynesian Phillips Curve with the labour income share or the real unit labour cost as driving variables can be considered as an appropriate model describing inflation in the Czech Republic. Compared to other analyses, we show that the inflation process in the Czech Republic exhibits higher backwardness vis-a-vis other researchers' estimates based on US data.
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Mardaneh, Somayeh. "Three essays on inflation dynamics and oil economics in the context of the New Keynesian Phillips Curve." Thesis, University of Leicester, 2013. http://hdl.handle.net/2381/28180.
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In the first chapter, the structural stability of the hybrid New Keynesian Phillips Curve (NKPC) and possible changes in pricing behaviour of firms is investigated in the context of oil price shocks. Using quarterly US aggregate data, this curve is estimated in subsamples formed with oil shock dates by generalized method of moments (GMM) and continuously updated GMM (CU-GMM). The standard GMM estimates suggest that although the forward-looking behaviour is predominant in pre-oil shock period, it loses ground against backward-looking behaviour after every oil shock. The CU-GMM results confirm the structural instability of hybrid NKPC in presence of oil shocks but now forward-looking behaviour becomes more important after oil shocks. In the second chapter, the structural stability of the NKPC featuring evolving trend inflation derived by Cogley and Sbordone’s (2008) is tested by exploiting three major oil shocks and three macroeconomic regimes. This is estimated by adapting two-step procedure combining Bayesian vector autoregression with minimum distance estimation. The results suggest that when a large and persistent macroeconomic shock sets off a large and sudden increase in trend inflation, backward-looking becomes more rational. When we impose continuous evolving trend inflation across macroeconomic regimes known as Great Inflation, Great Moderation, and Great Recession, the estimates of firm pricing parameters implies a structurally stable NKPC. In the final chapter, a small open economy NKPC is derived and estimated for a developing oil-exporting economy sick with Dutch-Disease. This curve is estimated for standard closed and open economy specifications of the Iranian economy. Introducing open economy elements produces three differences in the estimation. First, the degree of price stickiness and the fraction of backward-looking firms decrease. Second, the degree of substitutability between inputs is close to unity for Iranian economy. Third, the forward-looking behaviour gains ground while the backward-looking behaviour becomes less important.
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Tsuruga, Takayuki. "Essays on sluggishness in macroeconomics." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1117222245.
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Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains xii, 106 p.; also includes graphics (some col.) Includes bibliographical references (p. 102-106). Available online via OhioLINK's ETD Center
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Medeiros, Gabriela Bezerra de. "Ensaios sobre política monetária e curva de Phillips no Brasil." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/109273.
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A presente tese é constituída de três ensaios que abordam duas relevantes questões que estão intrinsecamente relacionadas em macroeconomia: política monetária e inflação. No primeiro ensaio, nós procuramos averiguar não linearidades na função de reação do Banco Central do Brasil (BCB) através da estimação de regressões quantílicas inversa, sugerido por Wolters (2012) e proposto por Chernozhukov and Hansen (2005, 2006). Este método nos possibilitou detectar não linearidades na função de reação do BCB sem a necessidade de fazer suposições específicas acerca dos fatores que determinam essas não linearidades. Em específico, nós observamos que: i) a resposta da taxa de juros ao hiato da inflação corrente e esperada foi, em geral, mais forte na parte superior da distribuição condicional da taxa de juros Selic; ii) a resposta ao hiato do produto apresentou uma tendência crescente e significativa na parte inferior da distribuição condicional da taxa Selic; iii) a resposta do BCB à taxa de câmbio real foi positiva e mais elevada na cauda superior da distribuição condicional da taxa Selic. No segundo ensaio, nós investigamos a existência de não linearidades na função de reação do Banco Central do Brasil (BCB) decorrentes de incertezas desse policymaker acerca dos efeitos do hiato do produto sobre a inflação. Teoricamente, nós seguimos Tillmann (2011) para obter uma regra de política monetária ótima não linear que é robusta às incertezas acerca do trade-off produto-inflação na curva de Phillips. Além disso, nós realizamos testes de quebra estrutural para avaliar possíveis mudanças na condução da política monetária brasileira durante o regime de metas de inflação. Os resultados indicaram que: i) as incertezas acerca da inclinação na curva Phillips implicaram em não linearidades na função de reação do BCB; ii) não se pode rejeitar a hipótese de uma quebra estrutural nos parâmetros da regra monetária ocorrendo no terceiro trimestre de 2003; iii) houve um aumento na resposta da taxa Selic ao hiato do produto e uma redução da reação ao hiato da inflação corrente no regime Meirelles- Tombini; e iv) o BCB também tem reagido à taxa de câmbio durante o regime Meirelles- Tombini. No terceiro ensaio, nós procuramos analisar os determinantes da inflação no Brasil através da estimação da Curva de Phillips Novo-Keynesiana (CPNK) proposta por Blanchard e Galí (2007) e a versão padrão proposta por Galí e Gertler (1999). Além disso, realizamos testes de quebras estruturais para avaliar possíveis mudanças na dinâmica da inflação brasileira durante o período de 2002 a 2014. Os resultados indicaram que: i) os testes de quebra estrutural apontam a existência de pelo menos uma mudança estrutural nos coeficientes da CPNK; ii) o componente forward-looking da inflação é dominante, embora sua relevância tenha sido reduzida após 2004; iii) a taxa de desemprego tem afetado negativamente a inflação, embora seja observado uma redução desse impacto nos últimos anos; iv) as mudanças na taxa de câmbio apenas tiveram efeitos sobre a inflação na primeira subamostra e tem perdido relevância no período mais recente; v) o efeito do hiato do produto sobre a inflação corrente diminuiu nos anos recentes; vi) em geral, nós rejeitamos a hipótese nula de uma curva de Phillips vertical no longo prazo a um nível de significância de 5%, mas não a 1%.This thesis is composed of three essays to address two important issues that are intricately related in macroeconomics: monetary policy and inflation. In the first essay, we seek to investigate nonlinearities in the reaction function of the Central Bank of Brazil (CBB) by estimating inverse quantile regressions (IVQR), suggested by Wolters (2012) and proposed by Chernozhukov and Hansen (2005, 2006). This method enabled us to detect nonlinearities in the CBB’s reaction function without the need to make specific assumptions about the factors that determine these nonlinearities. In particular, we observed that: i) the response of the interest rate to the current and expected inflation was, in general, stronger in the upper tail of the conditional interest rate distribution; ii) the response to the output gap showed a growing and significant trend in the lower tail of the conditional Selic rate distribution; iii) the response of the CBB to the real exchange rate was positive and higher in the upper tail of the conditional Selic rate distribution. In the second essay, we investigate the existence of nonlinearities in the reaction function of the Central Bank of Brazil (CBB) arising from this policymaker’s uncertainties about the effects of the output gap on inflation. Theoretically, we follow Tillmann (2011) to obtain a nonlinear optimal monetary policy rule that is robust to uncertainty about the output-inflation trade-off of the Phillips Curve In addition, we perform structural break tests to assess possible changes in the conduct of the Brazilian monetary policy during the inflation-targeting regime. The results indicate that: i) the uncertainties about the slope in the Phillips curve implied nonlinearities in the CBB’s reaction function; ii) we cannot reject the hypothesis of a structural break in the monetary rule parameters occurring in the third quarter of 2003; iii) there was an increase in the response of the Selic rate to output gap and a weaker response to the current inflation gap in Meirelles Tombini’s administration; and iv) the CBB has also reacted to the exchange rate in Meirelles-Tombini’s administration. In the third essay, we proposed to analyze the determinants of inflation in Brazil through the estimation of the new Keynesian Phillips curve (NKPC) proposed by Blanchard and Galí (2007) and the standard version proposed by Galí and Gertler (1999). In addition, we perform structural break tests to assess possible changes in the dynamics of inflation in Brazil during the period 2002 to 2014. The results indicated that: i) structural break tests indicate the existence of at least one structural change in the coefficients of NKPC ; ii) the forward-looking component of inflation is dominant, though its importance has been reduced after 2004; iii) the unemployment rate has negatively affected inflation, although a reduction of this impact has been observed in recent years; iv) changes in the rate of exchange only had effects on inflation in the first subsample and losing relevance in the most recent period; v) the effect of the output gap on the current inflation has declined in recent years; vi) overall, we reject the null hypothesis of a vertical Phillips curve in the long term at a significance level of 5%, but not 1%.
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Holmberg, Karolina. "Empirical Essays in Macroeconomics and Finance." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-72259.
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Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy This paper explores how well Swedish inflation is explained by a New Keynesian Phillips Curve. As the real driving variable in the Phillips Curve, a measure of firms' real marginal cost is compared to the traditional output gap. The results show that, with real marginal cost in the Phillips Curve equation, the point estimates generally have the expected positive sign, which is less frequently the case with the output gap. However, with both real marginal cost and the output gap, it is difficult to pin down a statistically significant relationship with inflation. Firm-Level Evidence of Shifts in the Supply of Credit This paper examines empirically whether firms are subject to shifts in credit supply over the business cycle. Shifts in the supply of credit are identified by exploring how firms substitute between commitment credit -- lines of credit -- and non-commitment credit. The results show that firms on average rely more on commitment credits when monetary policy is tight and when the financial health of banks is weaker. The results are consistent with a bank lending channel of monetary policy and with shifts in the supply of credit following deteriorations in banks' balance sheets. Lines of Credit and Investment: Firm-Level Evidence of Real Effects of the Financial Crisis This paper studies how the 2008 financial crisis affected corporate investment in Sweden through its effect on credit availability. The approach is to compare investments of firms before and after the onset of the crisis as a function of their ex ante sensitivity to a credit supply shock, controlling for fundamental determinants of investments. Sensitivity to a credit supply shock is measured as credit reserves, defined as unused credit on lines of credit. The results indicate that the decline in investment following the crisis was not exacerbated by a contraction in the supply of credit.
Books on the topic "New Keynesian Phillips Curve (NKPC)"
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Nason, James M. Identifying the new Keynesian Phillips curve. [Atlanta, Ga.]: Federal Reserve Bank of Atlanta, 2005.
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Guay, Alain. The U.S. new Keynesian Phillips curve: An empirical assessment. Ottawa: Bank of Canada, 2004.
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Guay, Alain. The U.S. new Keynesian Phillips curve: An empirical assessment. Ottawa, Ont: Bank of Canada, 2004.
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Michael, Woodford. Firm-specific capital and the new Keynesian Phillips curve. Cambridge, Mass: National Bureau of Economic Research, 2005.
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Woodford, Michael. Firm-specific capital and the new-Keynesian Phillips curve. Cambridge, MA: National Bureau of Economic Research, 2005.
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Guay, Alain. The U.S. new Keynesian Phillips curve: An empirical assessment. Ottawa: Bank of Canada, 2004.
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Khalaf, Lynda. Estimating new Keynesian Phillips curves using exact methods. Ottawa: Bank of Canada, 2004.
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Razin, Assaf. The "new Keynesian" Phillips curve: Closed economy vs. open economy. Cambridge, MA: National Bureau of Economic Research, 2001.
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Galí, Jordi. Robustness of the estimates of the hybrid New Keynesian Phillips curve. Cambridge, Mass: National Bureau of Economic Research, 2005.
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Nason, James M. Along the new Keynesian Phillips curve with nominal and real rigidities. [Atlanta]: Federal Reserve Bank of Atlanta, 2004.
Find full textBook chapters on the topic "New Keynesian Phillips Curve (NKPC)"
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Musy, Olivier, and Sébastien Pommier. "Assessing the New Keynesian Phillips Curve Under Competing Expectation Hypotheses." In Advances in Monetary Policy and Macroeconomics, 28–49. London: Palgrave Macmillan UK, 2007. http://dx.doi.org/10.1057/9780230800762_3.
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Alupoaiei, Alexie. "Flattening Phillips Curve, “Passive” Policy, and Incidence of the Self-fulfilling Prophecy in a Standard New-Keynesian Model with Financial Accelerator." In Emerging Issues in the Global Economy, 1–12. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-71876-7_1.
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Cole, Harold L. "Price-Setting and Information Frictions." In Monetary and Fiscal Policy through a DSGE Lens, 83–102. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780190076030.003.0010.
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This chapters shows how to construct a New Keynesian by changing the timing of monetary injections and imposing an information friction. We show the model implies an expectational Phillips Curve. We then discuss how to simulate our model on the computer.
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Farmer, Roger E. A. "Animal Spirits, Persistent Unemployment, and the Belief Function." In Rethinking Expectations. Princeton University Press, 2013. http://dx.doi.org/10.23943/princeton/9780691155234.003.0008.
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This chapter examines the persistence of unemployment by drawing from John Maynard Keynes' two central ideas. The first idea is that any unemployment rate can persist as an equilibrium. The second is that the unemployment rate that prevails is determined by animal spirits. The chapter introduces a three-equation monetary model termed “Farmer monetary model,” which replaces the New Keynesian Phillips curve with a belief function that describes how agents form expectations of future nominal income. The chapter builds and estimates the Farmer monetary model using U.S. data for the period from the first quarter of 1952 to the fourth quarter of 2007. It compares the Farmer monetary model to a New Keynesian model by computing the posterior odds ratio. It shows that the posterior odds favor the Farmer monetary model and concludes by discussing the implications of this finding for fiscal and monetary policy.
Conference papers on the topic "New Keynesian Phillips Curve (NKPC)"
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Virbickas, Ernestas. "Estimated New Keynesian Phillips Curve in Lithuania." In The 7th International Scientific Conference "Business and Management 2012". Vilnius, Lithuania: Vilnius Gediminas Technical University Publishing House Technika, 2012. http://dx.doi.org/10.3846/bm.2012.034.
Full textReports on the topic "New Keynesian Phillips Curve (NKPC)"
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Woodford, Michael. Firm-Specific Capital and the New-Keynesian Phillips Curve. Cambridge, MA: National Bureau of Economic Research, February 2005. http://dx.doi.org/10.3386/w11149.
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Razin, Assaf, and Chi-Wa Yuen. The "New Keynesian" Phillips Curve: Closed Economy vs. Open Economy. Cambridge, MA: National Bureau of Economic Research, June 2001. http://dx.doi.org/10.3386/w8313.
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Gali, Jordi, Mark Gertler, and David Lopez-Salido. Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve. Cambridge, MA: National Bureau of Economic Research, November 2005. http://dx.doi.org/10.3386/w11788.
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Mankiw, N. Gregory, and Ricardo Reis. Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve. Cambridge, MA: National Bureau of Economic Research, May 2001. http://dx.doi.org/10.3386/w8290.
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Lagoa, Sérgio. Determinants of inflation differentials in the euro area: Is the New Keynesian Phillips Curve enough? DINÂMIA'CET-IUL, 2011. http://dx.doi.org/10.7749/dinamiacet-iul.wp.2011.08.
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