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, 45(5), pp. 913-932. (doi:10.1111/jmcb.12030)
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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) Enlighten ID:||Byrne, Dr Joseph and Kontonikas, Professor Alexandros and Montagnoli, Dr Alberto|
|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|
|Published Online:||11 July 2013|