Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/192634 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Discussion Papers No. 652
Verlag: 
Statistics Norway, Research Department, Oslo
Zusammenfassung: 
We evaluate the empirical performance of the new Keynesian Phillips curve (NKPC) for a small open economy using cointegrated vector autoregressive models, likelihood based methods and general method of moments. Our results indicate that both baseline and hybrid versions of the NKPC as well as exact and inexact formulations of the rational expectation hypothesis are most likely at odds with Norwegian data. By way of contrast, we establish a well-specified dynamic backward-looking imperfect competition model (ICM), a model which encompasses the NKPC in-sample with a major monetary policy regime shift from exchange rate targeting to inflation targeting. We also demonstrate that the ICM model forecasts well both post-sample and during the recent financial crisis. Our findings suggest that taking account of forward-looking behaviour when modelling consumer price inflation is unnecessary to arrive at a well-specified model by econometric criteria.
Schlagwörter: 
The new Keynesian Phillips curve
imperfect competition model
cointegrated vector autoregressive models (CVAR)
equilibrium correction models
likelihood based methods and general method of moments (GMM).
JEL: 
C51
C52
E31
F31
Dokumentart: 
Working Paper

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