Department of Economics and Business Economics

Autoregression-based estimation of the new Keynesian Phillips curve

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Autoregression-based estimation of the new Keynesian Phillips curve. / Lanne, M.; Luoto, J.

In: Journal of Economic Dynamics and Control, Vol. 37, No. 3, 01.03.2013, p. 561-570.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Lanne, M & Luoto, J 2013, 'Autoregression-based estimation of the new Keynesian Phillips curve', Journal of Economic Dynamics and Control, vol. 37, no. 3, pp. 561-570. https://doi.org/10.1016/j.jedc.2012.09.008

APA

Lanne, M., & Luoto, J. (2013). Autoregression-based estimation of the new Keynesian Phillips curve. Journal of Economic Dynamics and Control, 37(3), 561-570. https://doi.org/10.1016/j.jedc.2012.09.008

CBE

MLA

Lanne, M. and J. Luoto. "Autoregression-based estimation of the new Keynesian Phillips curve". Journal of Economic Dynamics and Control. 2013, 37(3). 561-570. https://doi.org/10.1016/j.jedc.2012.09.008

Vancouver

Lanne M, Luoto J. Autoregression-based estimation of the new Keynesian Phillips curve. Journal of Economic Dynamics and Control. 2013 Mar 1;37(3):561-570. https://doi.org/10.1016/j.jedc.2012.09.008

Author

Lanne, M. ; Luoto, J. / Autoregression-based estimation of the new Keynesian Phillips curve. In: Journal of Economic Dynamics and Control. 2013 ; Vol. 37, No. 3. pp. 561-570.

Bibtex

@article{1eab5294c72b46ad9b708871b2482292,
title = "Autoregression-based estimation of the new Keynesian Phillips curve",
abstract = "We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1-2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process.",
author = "M. Lanne and J. Luoto",
year = "2013",
month = mar,
day = "1",
doi = "10.1016/j.jedc.2012.09.008",
language = "English",
volume = "37",
pages = "561--570",
journal = "Journal of Economic Dynamics and Control",
issn = "0165-1889",
publisher = "Elsevier BV",
number = "3",

}

RIS

TY - JOUR

T1 - Autoregression-based estimation of the new Keynesian Phillips curve

AU - Lanne, M.

AU - Luoto, J.

PY - 2013/3/1

Y1 - 2013/3/1

N2 - We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1-2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process.

AB - We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1-2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process.

UR - http://www.scopus.com/inward/record.url?scp=84872856264&partnerID=8YFLogxK

U2 - 10.1016/j.jedc.2012.09.008

DO - 10.1016/j.jedc.2012.09.008

M3 - Journal article

AN - SCOPUS:84872856264

VL - 37

SP - 561

EP - 570

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

IS - 3

ER -