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New Keynesian Phillips Curve Estimation: The Case of Hungary (1981–2006)

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  • Vasilev, Aleksandar

Abstract

This paper investigates for the presence of a New Keynesian Phillips (NKPC) curve in Hungary in the period 1981:3–2006:2. The empirical model we test features forward-looking firms who pre-set prices for a couple of periods ahead, using Calvo (1983) pricing rule.We also estimate a hybrid version of NKPC, where some of the firms are backward looking, and others are forward-looking in their price-setting behaviour. Real marginal costs and forward-looking behaviour are statistically significant and quantitatively important in the nkpc.However, there are some econometric issues to be considered, such as the weak identification of the parameters of the structural NKPC as well as those of the hybrid NKPC.

Suggested Citation

  • Vasilev, Aleksandar, 2015. "New Keynesian Phillips Curve Estimation: The Case of Hungary (1981–2006)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 13(4), pages 355-367.
    • Handle: RePEc:zbw:espost:142149
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    References listed on IDEAS

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    1. Jeff Fuhrer & George Moore, 1995. "Inflation Persistence," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(1), pages 127-159.
    2. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
    3. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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    5. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
    6. Fuhrer, Jeffrey C., 2010. "Inflation Persistence," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 9, pages 423-486, Elsevier.
    7. Roberts, John M., 1997. "Is inflation sticky?," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 173-196, July.
    8. Michal Franta & Branislav Saxa & Kateøina Šmídková, 2010. "The Role of Inflation Persistence in the Inflation Process in the New EU Member States," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 480-500, December.
    9. John M. Roberts, 1998. "Inflation expectations and the transmission of monetary policy," Finance and Economics Discussion Series 1998-43, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:

    1. Lasha Arevadze & Tamta Sopromadze & Giorgi Tsutskiridze & Shalva Mkhatrishvili, 2020. "Identifying the Phillips Curve in Georgia," NBG Working Papers 01/2020, National Bank of Georgia.
    2. Lasha Arevadze & Tamta Sopromadze & Giorgi Tsutskiridze & Shalva Mkhatrishvili, 2020. "Identifying the Phillips Curve in Georgia," NBG Working Papers 01/2020, National Bank of Georgia.

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    More about this item

    Keywords

    New Keynesian Phillips curve; Hungary; instrumental non-linear gmm Estimation; weak identification;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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