Observed Inflation Forecasts and the New Keynesian Phillips Curve*

Oxford Bulletin of Economics and Statistics - Tập 71 Số 3 - Trang 375-398 - 2009
Chengsi Zhang1, Denise R. Osborn2, Dong Heon Kim3
1School of Finance, Renmin University of China, Beijing, China (e‐mail: [email protected])
2Centre for Growth and Business Cycle Research, Economics, University of
Manchester, Manchester, M13 9PL, UK (e‐mail: [email protected])
3Department of Economics, Korea University, Seoul, South Korea, and Centre for Growth and Business Cycle Research, Economics, University of Manchester, Manchester, UK (e-mail: [email protected])

Tóm tắt

AbstractThis paper investigates the empirical success of the New Keynesian Phillips Curve (NKPC) in explaining US inflation when observed measures of inflation expectations are used in conjunction with the output gap. The paper contributes to the literature by addressing the important problem of serial correlation in the stylized NKPC and developing an extended model to account for this serial correlation. Contrary to recent results indicating no role for the output gap, we find it to be a statistically significant driving variable for inflation, with this finding robust to whether the inflation expectations series used relates to individual consumers, professional forecasters or the US Fed.

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Oxford Bulletin of Economics and Statistics

Tập 71 Số 3

375-398

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