Interpreting the evidence for New Keynesian models of inflation dynamics

Ragnar Nymoen (), Anders Rygh Swensen and Eivind Tveter

Journal of Macroeconomics, 2012, vol. 34, issue 2, 253-263

Abstract: We present a framework for interpretation of the empirical results of New Keynesian models of inflation dynamics. Both the rational expectations solution of the structural New Keynesian Phillips curve, NKPC, and the reduced form VAR analysis of the multivariate time series properties give insight about the joint implications of the evidence in the NKPC literature. For example, we show that the unit-root form of non-stationary may be implied for inflation even though the econometric model initially assumed stationarity. The uniqueness and form of a rational expectations solution may depend on whether dynamic (in)homogeneity is present, and on the size of the forward-coefficient in the NKPC.

Keywords: New Keynesian Phillips curve; Forward-looking price setting; Rational expectations; VAR model (search for similar items in EconPapers)
JEL-codes: B41 C22 E31 E52 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0164070412000250
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Interpreting the evidence for New Keynesian models of inflation dynamics (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:34:y:2012:i:2:p:253-263

DOI: 10.1016/j.jmacro.2012.01.008

Access Statistics for this article

Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos

More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().