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Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/18372
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gottschalk, Jan | | en_US |
| dc.contributor.author | | Fritsche, Ulrich | | en_US |
| dc.date.accessioned | | 2009-01-28T15:43:02Z | | - |
| dc.date.available | | 2009-01-28T15:43:02Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/18372 | | - |
| dc.description.abstract | | New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is ruled out. While this appears to be a reasonable characterization of the US economy, it is less clear that the natural rate hypothesis necessarily holds in a European country like Germany where hysteretic effects may invalidate it. Inspired by the framework developed by Farmer (2000) and Beyer and Farmer (2002), we investigate the long-run relationships between the interest rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate cointegration analysis technique. The results point to a structural break in the late 1970s. In the later time period we find for West German data a strong negative correlation between the trend components of inflation and unemployment. We show that this finding contradicts the natural rate hypothesis, introduce a version of the New Keynesian model which allows for some hysteresis and compare the effectiveness of monetary policy in these two models. In general, a policy rule with an aggressive response to a rise in unemployment performs better in a model with hysteretic characteristics than in a model without. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsches Institut für Wirtschaftsforschung (DIW) Berlin | | en_US |
| dc.relation.ispartofseries | | DIW-Diskussionspapiere 521 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | B22 | | en_US |
| dc.subject.jel | | E24 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Cointegration | | en_US |
| dc.subject.keyword | | Vector Error CorrectionModel | | en_US |
| dc.subject.keyword | | Unemployment | | en_US |
| dc.subject.keyword | | Phillips Curve | | en_US |
| dc.subject.keyword | | Hysteresis | | en_US |
| dc.title | | The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany? | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 504313746 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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