Identification of New Keynesian Phillips Curves from a Global Perspective
Identifieur interne : 001216 ( Main/Exploration ); précédent : 001215; suivant : 001217Identification of New Keynesian Phillips Curves from a Global Perspective
Auteurs : Stephane Dees ; M. Hashem Pesaran ; L. Vanessa Smith [Royaume-Uni] ; Ron P. Smith [Royaume-Uni]Source :
- Journal of Money, Credit and Banking [ 0022-2879 ] ; 2009-10.
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Abstract
This paper is concerned with the estimation of New Keynesian Phillips Curves (NKPC) and focuses on two issues: the weak instrument problem and the characterization of the steady states. It proposes some solutions from a global perspective. Using a global vector autoregressive (GVAR) model steady states are estimated as long‐horizon expectations and valid instruments are constructed from the global variables as weighted averages. The proposed estimation strategy is illustrated using estimates of the NKPC for eight developed industrial countries. The GVAR generates global factors that are valid instruments and help alleviate the weak instrument problem. The steady states also reflect global influences and any long‐run theoretical relationships that might prevail within and across countries in the global economy. The GVAR measure of the steady state performed better than the HP measure, and the use of foreign instruments substantially increased the precision of the estimates of the output coefficient.
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DOI: 10.1111/j.1538-4616.2009.00264.x
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Smith</name><affiliation wicri:level="4"><country>Royaume-Uni</country><placeName><settlement type="city">Londres</settlement><region type="country">Angleterre</region><region type="région" nuts="1">Grand Londres</region></placeName><orgName type="university">Université de Londres</orgName></affiliation></author></analytic><monogr></monogr><series><title level="j">Journal of Money, Credit and Banking</title><idno type="ISSN">0022-2879</idno><idno type="eISSN">1538-4616</idno><imprint><publisher>Blackwell Publishing Inc</publisher><pubPlace>Malden, USA</pubPlace><date type="published" when="2009-10">2009-10</date><biblScope unit="volume">41</biblScope><biblScope unit="issue">7</biblScope><biblScope unit="page" from="1481">1481</biblScope><biblScope unit="page" to="1502">1502</biblScope></imprint><idno type="ISSN">0022-2879</idno></series><idno type="istex">FC16DA74E82082D2FA8D69C3D46B9A16AFEB051F</idno><idno type="DOI">10.1111/j.1538-4616.2009.00264.x</idno><idno type="ArticleID">JMCB264</idno></biblStruct></sourceDesc><seriesStmt><idno type="ISSN">0022-2879</idno></seriesStmt></fileDesc><profileDesc><textClass><keywords scheme="KwdEn" xml:lang="en"><term>C32</term><term>E17</term><term>F37</term><term>F42</term><term>New Keynesian Phillips Curve</term><term>global VAR</term><term>identification</term><term>long‐horizon expectations</term><term>steady states</term><term>trend‐cycle decomposition</term></keywords></textClass><langUsage><language ident="en">en</language></langUsage></profileDesc></teiHeader><front><div type="abstract" xml:lang="en">This paper is concerned with the estimation of New Keynesian Phillips Curves (NKPC) and focuses on two issues: the weak instrument problem and the characterization of the steady states. It proposes some solutions from a global perspective. Using a global vector autoregressive (GVAR) model steady states are estimated as long‐horizon expectations and valid instruments are constructed from the global variables as weighted averages. The proposed estimation strategy is illustrated using estimates of the NKPC for eight developed industrial countries. The GVAR generates global factors that are valid instruments and help alleviate the weak instrument problem. The steady states also reflect global influences and any long‐run theoretical relationships that might prevail within and across countries in the global economy. The GVAR measure of the steady state performed better than the HP measure, and the use of foreign instruments substantially increased the precision of the estimates of the output coefficient.</div></front></TEI><affiliations><list><country><li>Royaume-Uni</li></country><region><li>Angleterre</li><li>Grand Londres</li></region><settlement><li>Londres</li></settlement><orgName><li>Université de Londres</li></orgName></list><tree><noCountry><name sortKey="Dees, Stephane" sort="Dees, Stephane" uniqKey="Dees S" first="Stephane" last="Dees">Stephane Dees</name><name sortKey="Pesaran, M Hashem" sort="Pesaran, M Hashem" uniqKey="Pesaran M" first="M. Hashem" last="Pesaran">M. Hashem Pesaran</name></noCountry><country name="Royaume-Uni"><noRegion><name sortKey="Smith, L Vanessa" sort="Smith, L Vanessa" uniqKey="Smith L" first="L. Vanessa" last="Smith">L. Vanessa Smith</name></noRegion><name sortKey="Smith, Ron P" sort="Smith, Ron P" uniqKey="Smith R" first="Ron P." last="Smith">Ron P. Smith</name></country></tree></affiliations></record>Pour manipuler ce document sous Unix (Dilib)
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