Testing the New Keynesian Model on U.S. and Euro Area Data

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18037

Title:	Testing the New Keynesian Model on U.S. and Euro Area Data
Keywords:	C52 E52 E31 C32 ddc:330 New Keynesian Phillips curve cointegration vector autoregressive model New-Keynesian Phillips Curve Rationale Erwartung Kointegration VAR-Modell Schätzung USA EU-Staaten
Issue Date:	16-Oct-2013
Publisher:	Kiel Institute for the World Economy (IfW) Kiel
Description:	I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series data. I find that the restrictions implied by the core equations of the NK-model are rejected regardless of sample periods or measures of real marginal costs. I also provide a tentative explanation of the results favored by previous researches.
URI:	http://koha.mediu.edu.my:8181/xmlui/handle/10419/18037
Other Identifiers:	Economics: The Open-Access, Open-Assessment E-Journal 2 2008-24 1-26 doi:10.5018/economics-ejournal.ja.2008-24 http://hdl.handle.net/10419/18037 ppn:572548109 http://www.economics-ejournal.org/economics/journalarticles/2008-24 RePEc:zbw:ifweej:7350
Appears in Collections:	EconStor

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