Dissertations / Theses on the topic 'New Keynesian Phillips Curve (NKPC)'

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&rsquo
s 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.

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.

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.

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.

Mestrado em Econometria Aplicada e Previsão
Neste 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

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.

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.

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

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%.

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.

We generalize a simple New Keynesian model and show that a flattening of the Phillips curve reduces the size of fiscal multipliers at the zero lower bound (ZLB) on the nominal interest rate. The factors behind the flatting are consistent with micro- and macroeconomic empirical evidence: it is a result of, not a higher level of price rigidity, but an increase in the degree of strategic complementarity in price-setting -- invoked by the assumption of a specific instead of an economy-wide labour market, and decreasing instead of constant-returns-to-scale. In normal times, the efficacy of fiscal policy and resulting multipliers tends to be small because negative wealth effects crowd out consumption, and because monetary policy endogenously reacts to fiscally-driven increases in inflation and output by raising rates, offsetting part of the stimulus. In times of a binding ZLB and a fixed nominal rate, an increase in (expected) inflation instead lowers the real rate, leading to larger fiscal multipliers. Conditional on being in a ZLB-environment, under a flatter Phillips curve, increases in expected inflation are lower, so that fiscal multipliers at the ZLB tend to be lower. Finally, we also discuss the role of solution methods in determining the size of fiscal multipliers.
Series: Department of Economics Working Paper Series

Utilizando a survey junto ao consumidor da universidade de Michigan, obtivemos dados a respeito das expectativas dos agentes não só sobre inflação, mas também sobre nível de atividade (os estudos de Roberts (1997) utilizaram apenas os dados de survey sobre expectativas inflacionárias). Verificamos, então, que grande parcela do custo das estabilizações dos EUA foi antecipado pela maior parte dos agentes, o que nos levou a rejeitar os modelos de Taylor (1979, 1980) e de Calvo (1983), mesmo em suas versões com as hipóteses de falta de credibilidade e informação homogeneamente defasada. Em seguida discutimos como um modelo com fairness, pode explicar este quebra cabeças. Finalmente, examinamos, três possíveis fatores (mutuamente compatíveis): a hipótese de que parte da população tenha expectativas inconsistentes, incerteza knightiana e o modelo com fairness. Nossos resultados empíricos penderam a favor de uma combinação de pelo menos uma das duas últimas alternativas com a primeira.
Using the Michigan Universitys consumer survey, we obtained data about agents expectations of both inflation and output (the latter had not been used in Roberts (1997) studies). With this, we were able to verify that a great part of the sacrifice ratios of the US stabilizations were anticipated by common agents, rejecting the Taylor (1979, 1980) and Calvo (1983) models and, with it, the hypothesis that the only reasons underlying them are staggered contracts, homogeneous sticky information and lack in credibility. WE, then, discuss how a model with fairness can explain this puzzle. Finally, we examine three (mutually consistent) factors: the hipothesis that part of the population have inconsistent expectatitons, Knightian uncertainty and te model with fairness. The results favored the combination of at least one of the two latter alternatives with te former.

Une forte croissance économique en Chine et son rôle important dans le commerce mondial impliquent que nous devons analyser son inflation avec les pressions intérieures et extérieures. Tandis que les papiers récents ont concentrés leur travail sur les processus d'inflation en Chine en utilisant des données nationales (voir, par exemple Brandt et Zhu, 2000; Feyzioglu & Willard, 2006; Porter, 2010), très peu d'attention a été mise sur l'inflation entre les différentes juridictions Chinoises. Ainsi, la compréhension de la dynamique de l'inflation et ses interactions entre les juridictions Chinoise sont des questions importantes pour les décisions des banques centrales en matière de politique monétaire. Dans ma thèse, tout d'abord, en considérant les pressions intérieures et extérieures de l'inflation, j'analyse les dynamiques de l'inflation entre les juridictions Chinoises (Chapitre 3). Ensuite, grâce à la libre circulation des biens et les migrations intérieures en Chine, je m'intéresse aux effets d'interactions de l'inflation à travers le pays avec les pressions intérieures et extérieures (Chapitre 4). Enfin, nous conjuguons la variation provinciale dans la dynamique de l'inflation Chinoise et les caractéristiques d'économie ouverte en estimant la courbe de Phillips hybride dans l'économie ouverte pour les provinces chinoises (Chapitre 5)
China's swift economic development and share in global trade increasing rapidly imply a need to understand its inflation dynamics with internal and external pressures. While recent papers focus on inflation process analysis in the mainland of China by using a country-level data (see, e.g. Brandt & Zhu, 2000; Feyzioğlu & Willard, 2006; Porter, 2010), less attention has been paid to differences across China's jurisdictions. Thus, understanding of inflation dynamics and its interaction among the Chinese provinces are the important issues for central bank's monetary policy decisions. Firstly, considering the internal and external inflation pressures, I analyze the inflation dynamics among the CMU (Chapter 3). Secondly, because of the free flow of goods and internal migration across the country, I'm interested in analyzing the effect of inflation interaction among its provinces with internal and external pressures (Chapter 4). Finally, we combine the interest in the provincial variation in China's inflation dynamics with its characteristic of economic openness by estimating hybrid open-economy Phillips curves for the Chinese provinces(Chapter 5)

Le premier chapitre consiste en une brève revue de littérature dont les éléments sont repris dans les différentes introductions des études empiriques proposées dans la suite de la thèse. L'objet de cet état des lieux est de fixer le cadre général des analyses macro-économétriques opérées dans la thèse. Ce cadre nous permet d'une part, d'envisager une adéquate intégration des anticipations des agents économiques dans le raisonnement ayant mené aux modèles keynésiens actuels et d'autre part, d'effectuer des estimations des principales versions de la courbe de Phillips introduites dans la littérature macro-économique post-seconde guerre mondiale. Dans cette optique, la thèse est constituée de trois études empiriques. Dans la première de ces études, nous nous plaçons au sein d'un cadre uni-varié et tentons de discriminer entre plusieurs spécifications, proposant différentes caractérisations économétriques de la dynamique du taux d'inflation U.S. Essentiellement, trois types de spécifications, théoriquement associés à trois évolutions possibles du taux d'inflation espéré (anticipé), sont mis à l'épreuve. Les résultats de cette première étude montrent que la dynamique du taux d'inflation peut être pertinemment décrite à l'aide d'un modèle à changements de (trois) régimes markoviens dans les dérives (Intercepts) d'un processus autorégressif (d'ordre deux), soit le modèle MSI(3)-AR(2). La deuxième étude s'opère dans le cadre multi-varié d'une Nouvelle Courbe de Phillips Keynésienne à Inflation tendancielle Positive (NKPC-PI). Au sein de ce cadre, la relation d'arbitrage Inflation/Activité réelle est estimée suivant une procédure en deux étapes. Dans la première, nous identifions des régimes distincts du taux d'inflation U.S. à l'aide d'un modèle à changements de (trois) régimes markoviens dans les dérives d'un processus vectoriel autorégressif (d'ordre deux), soit le modèle MSI(3)-VAR(2). Dans la seconde étape, nous estimons les paramètres structurels de cette économie keynésienne afin d'extraire la courbe de Phillips résultante des changements de régimes initialement identifiés. Les résultats de cette deuxième étude nous amènent à conclure à une non-négligeable instabilité de la courbe de Phillips au cours de la période post-seconde guerre mondiale. La troisième étude se présente comme un prolongement et/ou un approfondissement des deux premières. Aussi, dans sa première partie, nous revenons sur les dynamiques tendancielles individuelles des quatre variables intervenant dans le cadre de modélisation NKPC-PI. Les résultats issus de ces premières estimations en contextes uni-variés montrent que seule la dynamique du taux d'inflation et, dans une moindre mesure, celle du coût marginal réel semble obéir à des changements de régimes. La spécification retenue pour l'inflation est celle de la première étude (MSI(3)-AR(2)), tandis que la dynamique du coût marginal réel pourrait être approchée à l'aide d'un modèle à changements de (deux) régimes dans les dérives d'un processus autorégressif (d'ordre deux), soit le modèle MSI(2)-AR(2). Les dynamiques du taux d'actualisation nominal et du taux de croissance de l'output (les deux autres variables du modèle NKPC-PI) semblent, quant à elles, être assez bien caractérisées par des spécifications linéaires autorégressives à deux retards (AR(2)). Sur la base de ces premiers résultats, nous estimons, dans la deuxième partie de l'étude, la nouvelle courbe de Phillips keynésienne en considérant que les processus générateurs des quatre séries du modèle peuvent répondre à de possibles intégrations fractionnelles. Les résultats de ces dernières estimations montrent que la prise en compte simultanée des changements de régimes et de la longue mémoire dans les dynamiques des variables du modèle apporte certains éclairages sur l'évolution du débat mené autour de la relation d'arbitrage post-seconde guerre mondiale
This PhD thesis proposes, through her three articles, a macro-econometric framework of integrating, in the most adequate way to our sense, the expectations of the economic agents in the reasoning having led to current New-Keynesian models. Upon this specified frame of analysis, we evaluate the effectiveness of various versions of the Phillips curve introduced into the macroeconomic literature. The first study of this thesis takes place in a univariate context and we seek to determine an econometric model leading to best characterize the U.S inflation rate dynamic. In order to achieve this, three types of specifications, associated with three possible evolutions of the expected rate are considered. The first allows an overall instability of the trend or the expected inflation rate. The second considers an alternative specification in which the expected inflation rate is unstable in periodic segments of the sample. Finally, the last specification allows instability of a "mixed type" in which the trend inflation rate is assumed to be random or subject to a probability schema. The results of our study indicate that this last specification is the one that gives the most adequate characterization of the inflation rate dynamic. The inflation rate then appears generated by a second order autoregressive process with, on the one hand, unchanging lag coefficients and, on the other, an unconditional mean which switch between three global regimes of different frequencies of accession. Based on these first results, we extend the analysis in a multivariate framework. The main topics of the second paper are to challenge the rational nature of the agents expectations and the structural effectiveness of the behaviorally micro-based New Keynesian Phillips Curve with a Positive steady state Inflation (NKPC-PI). We then model the trade-off between the U.S inflation rate and a Unit Labor Cost-based measure of the real activity through Markov Switching - Vectorial AutoRegressive (MS-VAR) specifications. These specifications allow to adequately capturing the rationality in the agents expectations process as they underlie a finite number of expected inflation rate regimes, which highlight the agents adaptive beliefs on the achievements of these regimes. Moreover, the results confirm the structural stability of the NKPC-PI over the inflation rate regimes as its deep parameters seem to be unaffected by the regimes switching (Cogley & Sbordone (2005) and Groen & Mumtaz (2008)). In the third study, we extend the analysis of the Phillips curve trade-off. First, we look at determining econometrics models leading to characterize the dynamics of all the variables underlying the trade-off in univariate contexts. As a result, it appears that an adequate way to characterize the agents expectations regarding the dynamics of these variables is to consider a combination of some fixed levels (regimes) in the variables evolutions with an agents adaptive beliefs notion. Finally, based on the implied expectations values of the variables, we show that the Phillips curve seems to disappear when the impact of the expected inflation rate on its current value converges to its long-term value

In dieser Arbeit werden die Folgen der Calvo-Annahme in dynamischen makroökonomischen Modellen untersucht. Dafür wird die Calvo-Annahme unter Anwendung des Konzepts der statistischen Hazardfunktion verallgemeinert. Ich untersuche zwei mögliche Anwendungen dieses Ansatzes innerhalb von DSGE-Modellen. Im ersten Artikel zeige ich, dass der Zugewinn an Handhabbarkeit, der aus der Calvo-Annahme für Neu-Keynesianische Modelle folgt, mit unerwünschten Folgen in Bezug auf die Inflationsdynamiken einher geht. Der zweite Artikel schätzt die aggregierte Hazardfunktion unter Verwendung des theoretischen Rahmens des ersten Artikels. Es zeigt sich, dass die Annahme einer konstanten Hazardfunktion, die aus der Calvo-Annahme folgt, von den Daten eindeutig abgelehnt wird. Im dritten Artikel analysiere ich die Implikationen der empirisch geschätzten Hazardfunktion für die Persistenz von Inflation und die Geldpolitik. Die Untersuchungen zeigen, dass mittels der empirisch plausiblen aggregierten Hazardfunktion Zeitreihen simuliert werden können, die mit der Persistenz der inflatorischen Lücke im US Verbraucherpreisindex konsistent sind. Anhand dieser Ergebnisse komme ich zu dem Schluss, dass die Hazardfunktion eine entscheidende Rolle für die dynamischen Eigenschaften von Inflation spielt. Der letzte Artikel wendet den selben Modellierungsansatz auf ein Real-Business-Cycle Model mit rigidem Arbeitsmarkt an. Unter Verwendung eines allgemeineren stochastischen Anpassungsprozess stelle ich fest, dass die Arbeitsmarktdynamiken von einem Parameter beinflusst werden, der das Monotonieverhalten der Hazardfunktion bestimmt. Insbesondere steigt die Volatilität des Beschäftigungsniveaus, wohingegen dessen Persistenz mit zunehmendem Parameterwert abnimmt.
The Calvo assumption (Calvo, 1983) is widely used in the macroeconomic literature to model market frictions that limit the ability of economic agents to re-optimize their control variables. In spite of its virtues, the Calvo assumption also implies singular adjustment behavior at the firm level as well as a restrictive aggregation mechanism for the whole economy. In this study, I examine implications of the Calvo assumption for macroeconomic dynamics. To do so, I extend the Calvo assumption to a more general case based on the concept of the statistical hazard function. Two applications of this approach are studied in the DSGE framework. In the first essay, I apply this approach to a New Keynesian model, and demonstrate that tractability gained from the Calvo pricing assumption is costly in terms of inflation dynamics. The second essay estimates aggregate price reset hazard function using the theoretical framework constructed in the first essay, and shows that the constant hazard function implied by the Calvo assumption is strongly rejected by the aggregate data. In the third essay, I further explore implications of the empirically based hazard function for inflation persistence and monetary policy. I find that the empirically plausible aggregate price reset hazard function can generate simulated data that are consistent with inflation gap persistence found in the US CPI data. Based on these results, I conclude that the price reset hazard function plays a crucial role for generating inflation dynamics. The last essay applies the same modeling approach to a RBC model with employment rigidity. I find that, when introducing a more general stochastic adjustment process, the employment dynamics vary with a parameter, which determines the monotonic property of the hazard function. In particular, the volatility of employment is increasing, but the persistence is decreasing in the value of the parameter.

New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.

Lo, Kai Lisa.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 43-46).
Abstract also in Chinese.
Chapter 1. --- Introduction --- p.7
Chapter 2. --- Literature Review --- p.10
Chapter 3. --- Measuring the Labor Share with US Data --- p.14
Chapter 3.1 --- Definition and Measurement --- p.14
Chapter 3.2 --- Some Crude Evidence --- p.16
Chapter 4. --- A Theoretical Relationship between Labor Share and Inflation in an Open Economy --- p.19
Chapter 4.1 --- A Static Closed-economy Pricing Model --- p.20
Chapter 4.2 --- Dynamic Model Based on Quadratic Adjustment Costs --- p.22
Chapter 4.3 --- An Open-economy Dynamic Pricing Model --- p.30
Chapter 5. --- An Empirical Investigation --- p.34
Chapter 5.1 --- Data --- p.34
Chapter 5.2 --- Estimation Results --- p.36
Chapter 5.2.1 --- General Findings --- p.37
Chapter 5.2.2 --- The Role of Adjustment Costs --- p.39
Chapter 5.2.3 --- Predicting U.S. Inflation --- p.40
Chapter 6. --- Conclusions --- p.42
References --- p.43
Figures and Tables --- p.47
Data Appendix --- p.56

Using a two-stage quantile regression framework, we uncover significant asymmetries across quantiles for all coefficients in an otherwise standard New Keynesian Phillips Curve (NKPC) for the euro area. A pure NKPC specification accurately captures inflation dynamics at high inflation quantiles.

Esta dissertação tem como objectivo a aplicação empírica do Novo Modelo Keynesiano à economia da zona euro no período compreendido entre o primeiro trimestre de 1999 e o último trimestre de 2008, a qual surge em resposta à parca evidência empírica deste modelo dinâmico estocástico de equilíbrio geral aplicada ao caso concreto da União Económica Monetária. Em especial, proceder-se-á à estimação econométrica da curva IS, da curva de Phillips e da regra de Taylor para se aferir acerca da capacidade destas três equações descreverem a dinâmica da procura agregada e da taxa de inflação da zona euro, assim como da política monetária conduzida por parte do Banco Central Europeu (BCE) ao longo dos seus primeiros anos de existência. O Novo Modelo Keynesiano será estimado com recurso ao Método Generalizado dos Momentos ou Generalized Method of Moments (GMM), uma vez que as três equações denotam características híbridas, incluindo comportamentos do tipo retrospectivo ou backward looking e prospectivo ou forward looking por parte dos agentes económicos, bem como elementos com expectativas racionais, permitindo contornar também a forte possibilidade de existir endogeneidade entre as diferentes variáveis. Ainda que o método de estimação GMM possa apresentar algumas limitações, o Novo Modelo Keynesiano parece descrever razoavelmente bem a evolução da actividade económica, o nível geral de preços e a política monetária da zona euro, pelo que poderá assim constituir uma importante ferramenta de auxílio às autoridades governamentais e ao BCE na adopção e implementação das suas políticas ao longo do tempo.
This dissertation aims to be an empirical application of the New Keynesian Model to the euro area’s economy during the period from the first quarter of 1999 to the last quarter of 2008, which is consistent with the scant empirical evidence of this dynamic stochastic general equilibrium model applied to the particular case of the Economic Monetary Union. More specifically, we are going to proceed with an econometric estimation of the IS curve, the Phillips curve and the Taylor rule to judge about the ability of these three equations to describe the dynamics of the aggregate demand and the inflation in the euro area, as well as the monetary policy steering by the European Central Bank (ECB) during its early years. The New Keynesian model is estimated using the Generalized Method of Moments (GMM), since the three equations denote hybrid features, including backward looking and forward looking behaviors by the economic agents, and elements with rational expectations, allowing around also the strong possibility that there is endogeneity between the different variables. Although the GMM estimation method may present some limitations, the New Keynesian model seems to describe reasonably well the evolution of the economic activity, the general price level and the monetary policy in the eurozone. Against this backdrop, the New Keynesian Model may provide an important tool for aid the governments of the euro area’s countries and the ECB in the adoption and implementation of its policies over the time.

Cette thèse s’articule autour de trois chapitres indépendants qui s’inscrivent dans les champs de la macroéconomie, de l’économie monétaire et de la finance internationale. Dans le premier chapitre, je construis un modèle néo-keynesien d’équilibre général sous incertitude pour examiner les implications de la production domestique des ménages pour la politique monétaire. Le modèle proposé permet de reconcilier deux faits empiriques majeurs: la forte sensibilité du produit intérieur brut aux chocs monétaires (obtenue à partir des modèles VAR), et le faible degré de rigidité nominale observé dans les micro-données. Le deuxième chapitre étudie le role de la transformation structurelle (réallocation de la main d’oeuvre entre secteurs) sur la volatilité de la production aggregée dans un panel de pays. Le troisième chapitre quant à lui met en exergue l’importance de la cartographie des échanges commerciaux pour le choix entre un régime de change fixe et l’arrimage à un panier de devises. "Household Production, Services and Monetary Policy" (Chapitre 1) part de l’observation selon laquelle les ménages peuvent produire à domicile des substituts aux services marchands, contrairement aux biens non durables qu’ils acquièrent presque exclusivement sur le marché. Dans ce contexte, ils procèdent à d’importants arbitrages entre produire les services à domicile ou les acquerir sur le marché, dépendamment des changements dans leur revenu. Pour examiner les implications de tels arbitrages (qui s’avèrent être importants dans les micro-données) le secteur domestique est introduit dans un modèle néo-keyenesien d’équilibre général sous incertitude à deux secteurs (le secteur des biens non durables et le secteur des services) autrement standard. Je montre que les firmes du secteur des services sont moins enclin à changer leurs prix du fait que les ménages ont l’option de produire soit même des services substituts. Ceci se traduit par la présence d’un terme endogène supplémentaire qui déplace la courbe de Phillips dans ce secteur. Ce terme croit avec le degré de substituabilité qui existe entre les services produits à domicile et ceux acquis sur le marché. Cet accroissement de la rigidité nominale amplifie la sensibilité de la production réelle aux chocs monétaires, notamment dans le secteur des services, ce qui est compatible avec l’évidence VAR selon laquelle les services de consommation sont plus sensibles aux variations de taux d’intérêt que les biens non durables. "Structural Transformation and the Volatility of Aggregate Output: A Cross-country Analysis" (Chapitre 2) est basée sur l’évidence empirique d’une relation négative entre la part de la main d’oeuvre allouée au secteur des services et la volatilité de la production aggrégée, même lorsque je contrôle pour les facteurs tels que le développement du secteur financier. Ce resultat aggregé est la conséquence des développements sectoriels: la productivité de la main d’oeuvre est beaucoup plus volatile dans l’agriculture et les industries manufacturières que dans les services. La production aggregée deviendrait donc mécaniquement moins volatile au fur et à mesure que la main d’oeuvre se déplace de l’agriculture et de la manufacture vers les services. Pour évaluer cette hypothèse, je calibre un modèle de transformation structurelle à l’économie américaine, que j’utilise ensuite pour générer l’allocation sectorielle de la main d’oeuvre dans l’agriculture, l’industrie et les services pour les autres pays de l’OCDE. Dans une analyse contre-factuelle, le modèle est utlisé pour restreindre la mobilité de la main d’oeuvre entre secteurs de façon endogène. Les calculs montrent alors que le déplacement de la main d’oeuvre vers le secteur des services réduit en effet la volatilité de la production aggregée. "Exchange Rate Volatility under Alternative Peg Regimes: Do Trade Patterns Matter?" (Chapitre 3) est une contribution à la litterature économique qui s’interesse au choix entre divers regimes de change. J’utilise les données mensuelles de taux de change bilatéraux et de commerce extérieur entre 1980 et 2010 pour les pays membre de l’Union Economique et Monétaire Ouest Africaine (UEMOA). La monnaie de ces pays (le franc CFA) est arrimée au franc Francais depuis le milieu des années 40 et à l’euro depuis son introduction en 1999. Au moment de l’arrimage initial, la France était le principal partenaire commercial des pays de l’UEMOA. Depuis lors, et plus encore au cours des dix dernières années, la cartographie des échanges de l’union a significativement changé en faveur des pays du groupe des BICs, notamment la Chine. Je montre dans ce chapitre que l’arrimage à un panier de devises aurait induit une volatilité moins pronnoncée du taux de change effectif nominal du franc CFA au cours de la décennie écoulée, comparé à la parité fixe actuelle. Ce chapitre, cependant, n’aborde pas la question de taux de change optimal pour les pays de l’UEMOA, un aspect qui serait intéressant pour une recherche future.
This thesis includes three independent essays in the fields of macroeconomics, monetary economics and international finance. In the first essay, I build a new Keynesian DSGE model to examine the implications for monetary policy of household production. The proposed theory helps reconcile the relatively strong response of output to monetary policy shocks as suggested by VAR-based evidence and the low degree of price rigidity found in micro data. The second essay analyzes the role of structural transformation (the reallocation of labor across sectors overtime) in shaping the volatility of aggregate output across countries. Finally, the third essay illustrates the importance of trade patterns in choosing between a single currency peg and a peg to a composite basket of currencies. “Household Production, Services and Monetary Policy” (Chapter 1) builds on the observation that consumer services (unlike consumer nondurable) have close substitutes at home. Households may therefore switch between consuming home and market service as the real wage (the opportunity cost of working at home) changes. To study the implications of this arbitrage for monetary policy, I embed a household sector into an otherwise standard two-sector (a nondurable good sector and a service sector) new Keynesian DSGE model. The fact that households are able to produce services at home makes service sector’s firms more reluctant to change their price. This translates into an extra endogenous shift term in the new Keynesian Phillips that is increasing with the extent of substitutability between home and market services. This increased nominal rigidity endogenously amplifies the output response to monetary policy shock, especially in the service sector, which is consistent with VAR-based evidence in the paper that consumer services are more interest-rate sensitive than consumer nondurables. “Structural Transformation and the Volatility of Aggregate Output: A Cross-country Analysis” (Chapter 2) is based on the evidence of a negative relationship between the employment share of the service sector and the volatility of aggregate output, which I obtain after controlling for several factors (including the level of financial development). This aggregate result is driven by sectoral labor productivity differentials: Labor productivity is substantially more volatile in agriculture and manufacturing than in services. Aggregate output would therefore become mechanically more stable as labor shifts away from agriculture and manufacturing, and toward the service sector. To quantify this conjecture, I first calibrate a model of structural transformation (secular reallocation of labor across sectors) to the U.S. economy, which I use to match the time path of labor shares in agriculture, manufacturing and services across OECD countries. The model is subsequently used to conduct a set of counterfactual experiments in which labor is endogenously constrained from moving across sectors. Computations suggest that the shift of labor toward the services sector is indeed volatility-reducing. “Exchange Rate Volatility under Alternative Peg: Do Trade Patterns Matter?” (Chapter 3) is a contribution to the literature on the choice of exchange rate regimes. I use monthly bilateral exchange rate and external trade data from 1980 to 2010 for the member countries of the Western African and Monetary Union (WAEMU). These countries have their common currency (the CFA franc) pegged to the French franc since the mid-40s and to the euro since its introduction in 1999. At the time of the initial peg arrangement, France accounted for most of the external trade of WAEMU countries. Since then, and more notably since the early 2000s, the trade patterns of these countries shifted briskly away from France and other Euro area countries and towards the BICs (China in particular). The chapter finds that a peg to a composite basket of currencies would have led to a less volatile effective exchange rate over the last decade compare to the current hard peg. This chapter, however, does not derive an optimal exchange rate for WAEMU countries, which is an important area for further research.