Evaluating the German (New Keynesian) Phillips Curve / Rolf Scheufele
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Discovery
577025201
URN
urn:nbn:de:gbv:3:2-7359
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale) : Inst. für Wirtschaftsforschung, Aug. 2008
Umfang
Online-Ressource (PDF-Datei: 39 S.) : graph. Darst.
Ausgabevermerk
Sprache
eng
Anmerkungen
Zsfassungen in dt. und engl. Sprache
Inhaltliche Zusammenfassung
This paper evaluates the New Keynesian Phillips Curve (NKPC) and its hybrid variant within a limited information framework for Germany. The main interest rests on the average frequency of price re-optimization of firms. We use the labor income share as the driving variable and consider a source of real rigidity by allowing for a fixed firm-specific capital stock. A GMM estimation strategy is employed as well as an identification robust method that is based upon the Anderson-Rubin statistic. We find out that the German Phillips Curve is purely forward looking. Moreover, our point estimates are consistent with the view that firms re-optimize prices every two to three quarters. While these estimates seem plausible from an economic point of view, the uncertainties around these estimates are very large and also consistent with perfect nominal price rigidity where firms never re-optimize prices. This analysis also offers some explanations why previous results for the German NKPC based on GMM differ considerably. First, standard GMM results are very sensitive to the way how orthogonality conditions are formulated. Additionally, model misspeci?cations may be left undetected by conventional J tests. Taken together, this analysis points out the need for identification robust methods to get reliable estimates for the NKPC. -- Inflation dynamics ; Phillips Curve ; Weak Instruments ; Optimal Instruments
Schriftenreihe
IWH-Diskussionspapiere ; 2008,10 ppn:37244492X