The New Keynesian Phillips Curve revisited

Pål Boug, Ådne Cappelen and Anders Rygh Swensen ()
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Anders Rygh Swensen: Statistics Norway, https://www.ssb.no/en/forskning/ansatte

Discussion Papers from Statistics Norway, Research Department

Abstract: Recently, several authors have questioned the evidence claimed by Galí and Gertler (1999) and Galí, Gertler and López-Salido (2001) that a hybrid version of the New Keynesian Phillips Curve approximates European and US inflation dynamics quite well. We re-examine the evidence using likelihood-based methods. Although including lagged inflation enhances the empirical fit, the improvement is not large enough to yield a model that passes a likelihood ratio test. We also show that the likelihood surface is rather flat, especially in the European case, indicating that the model may be weakly identified as criticised by others using alternative methods.

Keywords: European and US inflation; the New Keynesian Phillips Curve; vector autoregressive models and likelihood ratio tests. (search for similar items in EconPapers)
JEL-codes: C51 C52 E31 (search for similar items in EconPapers)
Date: 2007-03
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: The new Keynesian Phillips curve revisited (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ssb:dispap:500

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