CEU Electronic Theses and Dissertations, 2008
| Author | Stefu, Ioana Cristina |
|---|---|
| Title | Estimation of New Keynesian Phillips Curve. The Case of Austria, France, Germany, Italy and UK |
| Summary | This paper’s focus is on the estimation of the baseline and hybrid model of the New Keynesian Phillips Curve for five European countries, using quarterly data for the period 1991 to 2005. The method employed here is GMM, using nonlinear specifications and instrument list, and also the weighting matrices are calculated in a consistent manner to heteroskedasticity and autocorrelation of unknown form. The results indicate that, although the coefficients have the desired sign, the labor share measuring the marginal cost of firms, under the Cobb-Douglas production function and constant returns to scale assumptions, is not the best choice for the driving force of inflation given these data, as it is significant only for two out of five countries. Thus, further research could improve the model fit by focusing on more precise measures of marginal cost under assumptions more consistent with the economic reality. Another feature of the results is that the forward looking behavior is significantly more important than the backward looking behavior for all five countries under consideration, but still the backward looking behavior cannot be neglected, as the coefficient on the lagged inflation is significant in all cases except for Germany. |
| Supervisor | Rátfai, Attila |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2008/stefu_ioana.pdf |
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