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Is There a Phillips Curve? a Full Information Partial Equilibrium Approach.

Author: Roberto Piazza
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Series: IMF Working Papers; Working Paper, no. 18/44.
Edition/Format:   eBook : Document : English
Summary:
Empirical tests of the New Keynesian Phillips Curve have provided results often inconsistent with microeconomic evidence. To overcome the pitfalls of standard estimations on aggregate data, a Full Information Partial Equilibrium approach is developed to exploit sectoral level data. A model featuring sectoral NKPCs subject to a rich set of shocks is constructed. Necessary and sufficient conditions on the structural  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Piazza, Roberto.
Is There a Phillips Curve? a Full Information Partial Equilibrium Approach.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Roberto Piazza
ISBN: 9781484346662 1484346661 1484345207 9781484345207
OCLC Number: 1076264882
Description: 1 online resource (60 pages).
Contents: Cover; Contents; Abstract; 1 Introduction; 2 Sectoral Phillips curves in a standard New Keynesian model; 2.1 Preferences and production technologies; 2.2 Staggered prices; 2.3 Estimation challenges; 3 A Full Information Partial Equilibrium approach; 3.1 Separating aggregate and idiosyncratic components; 3.2 FIPE moments; 3.3 Beyond the pure forward-looking model; 4 FIPE in a Bayesian application; 4.1 An ARMA(1,1) specification; 4.2 Data description and priors; 4.3 Estimation results; 5 Conclusions; 6 References; Appendices; A Sectoral Phillips curves; B Proof of Propositions; C Moments.
Series Title: IMF Working Papers; Working Paper, no. 18/44.

Abstract:

Empirical tests of the New Keynesian Phillips Curve have provided results often inconsistent with microeconomic evidence. To overcome the pitfalls of standard estimations on aggregate data, a Full Information Partial Equilibrium approach is developed to exploit sectoral level data. A model featuring sectoral NKPCs subject to a rich set of shocks is constructed. Necessary and sufficient conditions on the structural parameters are provided to allow sectoral idiosyncratic components to be linearly extracted. Estimation biases are corrected using the model's restrictions on the partial equilibrium propagation of idiosyncratic shocks. An application to the US, Japan and the UK rejects the purely forward looking, labor cost-based NKPC.

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