Quantifying the uncertainty about the fit of a new Keynesian pricing model

被引：23

作者：

Kurmann, A ^{[1
]}

机构：

[1] Univ Quebec, Dept Econ, Montreal, PQ H3C 3P8, Canada

来源：

JOURNAL OF MONETARY ECONOMICS | 2005年 / 52卷 / 06期

关键词：

inflation; new keynesian pricing; real marginal cost;

D O I：

10.1016/j.jmoneco.2005.08.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Recent studies by Gali and Gertler [1999. Inflation dynamics: a structural econometric analysis, Journal of Monetary Economics 44, 195 222] and Sbordone [2002. Prices and unit labor costs: testing models of pricing, Journal of Monetary Economics 49, 265-292] conclude that a theoretical inflation series implied by a forward-looking New Keynesian pricing equation fits post-1960 U.S. inflation closely. Their theoretical inflation series is conditional on (i) a reduced-form forecasting process for real marginal cost; and (ii) the calibration of the pricing equation. The present paper shows that both of these determinants are surrounded by considerable uncertainty. When quantifying the impact of this uncertainty on theoretical inflation, we can no longer say whether the forward-looking pricing equation explains observed inflation dynamics very well or very poorly. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：1119 / 1134

页数：16

共 43 条

[21] A small New Keynesian state space model of the Australian economy [J].

Leu, Shawn Chen-Yu ;

Sheen, Jeffrey .

ECONOMIC MODELLING, 2011, 28 (1-2) :672-684

[22] New-Keynesian model of inflation and its empirical verification [J].

Arlt, J ;

Plasil, M ;

Horsky, R .

POLITICKA EKONOMIE, 2005, 53 (01) :81-94

[23] Forward Guidance Effectiveness in a New Keynesian Model with Housing Frictions [J].

Cole, Stephen J. ;

Huh, Sungjun .

B E JOURNAL OF MACROECONOMICS, 2023, 23 (01) :551-590

[24] Calibrating capital adjustment costs in the New-Keynesian model [J].

Groth, Charlotta .

ECONOMICS LETTERS, 2006, 93 (01) :26-30

[25] The optimal degree of monetary discretion in a new Keynesian model with private information [J].

Waki, Yuichiro ;

Dennis, Richard ;

Fujiwara, Ippei .

THEORETICAL ECONOMICS, 2018, 13 (03) :1319-1367

[26] The effect of central bank credibility on forward guidance in an estimated New Keynesian model [J].

Cole, Stephen J. ;

Martinez-Garcia, Enrique .

MACROECONOMIC DYNAMICS, 2023, 27 (02) :532-570

[27] The Critical Mistake of New Keynesian Economics, Demonstrated in a Revised Model of Blanchard and Kiyotaki [J].

Piluso, Nicolas Jean-francois .

REVIEW OF POLITICAL ECONOMY, 2025,

[28] Raise Rates to Raise Inflation? Neo-Fisherianism in the New Keynesian Model [J].

Garin, Julio ;

Lester, Robert ;

Sims, Eric .

JOURNAL OF MONEY CREDIT AND BANKING, 2018, 50 (01) :243-259

[29] The neo-Fisherian effect in a new Keynesian model with real money balances [J].

Ida, Daisuke .

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2025, 80

[30] The choice of a foreign price measure in a Bayesian estimated new-Keynesian model for Israel [J].

Argov, Eyal .

ECONOMIC MODELLING, 2012, 29 (02) :408-420

← 1 2 3 4 5 →