Choi, Jinho
[Verfasser:in]
;
Escanciano, Juan Carlos
[Sonstige Person, Familie und Körperschaft];
Guo, Junjie
[Sonstige Person, Familie und Körperschaft]
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 22, 2017 erstellt
Beschreibung:
This article proposes a new identification strategy and a new estimation method for the hybrid New Keynesian Phillips curve (NKPC). Unlike the predominant Generalized Method of Moments (GMM) approach, which leads to weak identification of the NKPC with U.S. postwar data, our non-parametric method exploits nonlinear variation in inflation dynamics and provides supporting evidence of point-identification. This article shows that identification of the NKPC is characterized by two conditional moment restrictions. This insight leads to a quantitative method to assess identification in the NKPC. For estimation, the article proposes a closed-form Generalized Band Spectrum Estimator (GBSE) that effectively uses information from the conditional moments, accounts for nonlinear variation, and permits a focus on short-run dynamics. Applying the GBSE to U.S postwar data, we find a significant coefficient of marginal cost and that the forward-looking component and the inflation inertia are both equally quantitatively important in explaining the short-run inflation dynamics, substantially reducing sampling uncertainty relative to existing GMM estimates