Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17995
Authors: 
Juselius, Mikael
Year of Publication: 
2008
Series/Report no.: 
Economics Discussion Papers / Institut für Weltwirtschaft 2008-23
Abstract: 
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series data. I find that the restrictions implied by the core equations of the NK-model are rejected regardless of sample periods or measures of real marginal costs. I also provide a tentative explanation of the results favored by previous researches.
Subjects: 
New Keynesian Phillips curve
cointegration
vector autoregressive model
JEL: 
C52
E52
E31
C32
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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