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International evidence on the new Keynesian Phillips curve using aggregate and disaggregate data

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. ISSN 0022-2879 (doi:10.1111/jmcb.12030)

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Abstract

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.

Item Type:Article
Status:Published
Refereed:Yes
Glasgow Author(s):Byrne, Dr Joseph and Kontonikas, Prof 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
ISSN:0022-2879
ISSN (Online):1538-4616
Published Online:11 July 2013

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