| dc.creator |
Gottschalk, Jan |
|
| dc.creator |
Fritsche, Ulrich |
|
| dc.date |
2005 |
|
| dc.date.accessioned |
2013-10-16T06:59:40Z |
|
| dc.date.available |
2013-10-16T06:59:40Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/18372 |
|
| dc.identifier |
ppn:504313746 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/18372 |
|
| dc.description |
New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is ruled out. While this appears to be a reasonable characterization of the US economy, it is less clear that the natural rate hypothesis necessarily holds in a European country like Germany where hysteretic effects may invalidate it. Inspired by the framework developed by Farmer (2000) and Beyer and Farmer (2002), we investigate the long-run relationships between the interest rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate cointegration analysis technique. The results point to a structural break in the late 1970s. In the later time period we find for West German data a strong negative correlation between the trend components of inflation and unemployment. We show that this finding contradicts the natural rate hypothesis, introduce a version of the New Keynesian model which allows for some hysteresis and compare the effectiveness of monetary policy in these two models. In general, a policy rule with an aggressive response to a rise in unemployment performs better in a model with hysteretic characteristics than in a model without. |
|
| dc.language |
eng |
|
| dc.publisher |
Deutsches Institut für Wirtschaftsforschung (DIW) Berlin |
|
| dc.relation |
DIW-Diskussionspapiere 521 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
C32 |
|
| dc.subject |
B22 |
|
| dc.subject |
E24 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Cointegration |
|
| dc.subject |
Vector Error CorrectionModel |
|
| dc.subject |
Unemployment |
|
| dc.subject |
Phillips Curve |
|
| dc.subject |
Hysteresis |
|
| dc.title |
The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany? |
|
| dc.type |
doc-type:workingPaper |
|