Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/18037 
Year of Publication: 
2008
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 2 [Issue:] 2008-24 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2008 [Pages:] 1-26
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.