Byrne, J., Kontonikas, A., and Montagnoli, A. (2013) International evidence on the new Keynesian Phillips curve using aggregate and disaggregate data. Journal of Money, Credit and Banking . ISSN 0022-2879 (In Press)
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We present a unique empirical analysis of the properties of the New Keynesian Phillips Curve using an international dataset of aggregate and disaggregate sectoral inflation. Our results from panel time-series estimation clearly indicate that sectoral heterogeneity has important consequences for aggregate inflation behaviour. Heterogeneity helps to explain the overesti- mation of inflation persistence and underestimation of the role of marginal costs in empirical investigations of the NKPC that use aggregate data. We find that combining disaggregate information with heterogeneous-consistent estimation techniques helps to reconcile, to a large extent, the NKPC with the data.
|Glasgow Author(s):||Kontonikas, Dr Alexandros and Montagnoli, Dr Alberto and Byrne, Dr Joseph|
|Authors:||Byrne, J., Kontonikas, A., and Montagnoli, A.|
|College/School:||College of Social Sciences > Adam Smith Business School > Accounting and Finance|
College of Social Sciences > Adam Smith Business School > Economics
|Journal Name:||Journal of Money, Credit and Banking|