Estimating New Keynesian Phillips Curves Using Exact Methods
The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation.
E31 - Price Level; Inflation; Deflation
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The Canadian Phillips Curve and Regime Shifting
Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance. -
Monetary Policy in Estimated Models of Small Open and Closed Economies
The author develops and estimates a quantitative dynamic-optimizing model of a small open economy (SOE) with domestic and import price stickiness and capital-adjustment costs. A monetary policy rule allows the central bank to systematically manage the short-term nominal interest rate in response to deviations of inflation, output, and money growth from their steadystate levels. -
A Small Dynamic Hybrid Model for the Euro Area
The authors estimate and solve a small structural model for the euro area over the 1983–2000 period. Given the assumption of rational expectations, the model implies a set of orthogonality conditions that provide the basis for estimating the model's parameter by generalized method of moments. -
Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico
The authors apply existing inflation models that have worked well in industrialized countries to Mexico, an emerging market that has recently moved to adopt an inflation-targeting framework for monetary policy. They compare the performance of these models with a mark-up model that has been used extensively to analyze inflation in Mexico. -
Testing the Stability of the Canadian Phillips Curve Using Exact Methods
Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests. -
Inflation Changes, Yield Spreads, and Threshold Effects
Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models. -
An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth
Within a unified framework, the author conducts an empirical investigation of dynamic interrelationships among inflation, inflation uncertainty, relative price dispersion, and output growth. -
Nominal Rigidities and Monetary Policy in Canada Since 1981
This paper develops and estimates a dynamic, stochastic, general-equilibrium model with price and wage stickiness to analyze monetary policy in Canada. -
Estimates of the Sticky-Information Phillips Curve for the United States, Canada, and the United Kingdom
Mankiw and Reis (2001a) have proposed a "sticky-information"-based Phillips curve (SIPC) to address some of the concerns with the "sticky-price"-based new Keynesian Phillips curve.