|
EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27517
|
| | |
| Title: | | Evaluating New Keynesian Phillips Curve under VAR-Based Learning  |
| Authors: | | Fanelli, Luca |
| Issue Date: | | 2008 |
| Citation: | | [Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 2 [Issue:] 2008-33 [Pages:] 1-24 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2008-33 |
| Series/Report no.: | | economics - The Open-Access, Open-Assessment E-Journal 2008-33 |
| Abstract: | | This paper proposes an econometric evaluation of the New Keynesian Phillips Curve (NKPC) in the euro area, under a particular specification of the adaptive learning hypothesis. The key assumption is that agents' perceived law of motion is a Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation as the information set increases over time. Each time new data is available, likelihood ratio tests for the cross-equation restrictions that the NKPC imposes on the VAR coefficients are computed and compared with a proper set of critical values, which take the sequential nature of the test into account. The analysis focuses on the case in which the variables can be approximated as nonstationary cointegrated processes. Results on quarterly data relative to the period 1981 - 2006 show that: (i) the euro area inflation rate and the wage share are cointegrated, although their relationship does not appear stable during the eighties and first nineties; (ii) the cointegrated version of the 'hybrid' NKPC is sharply rejected under the rational expectations hypothesis; (iii) the NKPC is rejected also when the model is evaluated under a particular formulation of the adaptive learning hypothesis over the monitoring period 1986 - 2006. |
| Subjects: | | Adaptive learning cointegration cross-equation restrictions forward-looking model New Keynesian Phillips Curve VAR VEqC |
| JEL: | | E10 C32 D83 C52 |
| Persistent Identifier of the first edition: | | doi:10.5018/economics-ejournal.ja.2008-33 |
| URL of the first edition: | | http://www.economics-ejournal.org/economics/journalarticles/2008-33 |
| Creative Commons License: | |  |
| Document Type: | | Article |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/27517
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|