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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Discussion Papers No. 1026
Verlag: 
Statistics Norway, Research Department, Oslo
Zusammenfassung: 
Building on a New Keynesian rational expectations framework, we develop a structural empirical model that jointly determines the real exchange rate, inflation, and the nominal interest rate in a small open economy. Employing a full-information system design and estimation approach that avoids imposing unduly restrictive a priori parameter constraints, we identify a forward-looking Phillips curve while addressing simultaneity bias. Our empirical findings reveal persistent exchange rate dynamics that diverge from New Keynesian rational expectations but align with prior evidence, suggesting the presence of multiple equilibria.
Schlagwörter: 
New Keynesian Phillips curve
structural time series modeling
simultaneous model design and estimation
simultaneous model estimation
Dokumentart: 
Working Paper

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