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Comments on "Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve"

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  • Gumbau-Brisa, Fabià
  • Lie, Denny

Abstract

This comment reexamines the finding in Cogley and Sbordone ("Trend Inflation, Indexation,and Inflation Persistence in the New Keynesian Phillips Curve," American Economic Review98(5): 2101-26, 2008) that the New Keynesian Phillips curve is purely forward-looking once time-varying trend inflation is accounted for. We perform various types of robustness analysis involving the second-stage estimation procedure, the number of indexation lags, and the vantage point of expectations. All in all, our estimates show that the main result in Cogley and Sbordone is not robust to these seemingly innocuous modifications.

Suggested Citation

  • Gumbau-Brisa, Fabià & Lie, Denny, 2015. "Comments on "Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve"," Working Papers 2015-13, University of Sydney, School of Economics.
    • Handle: RePEc:syd:wpaper:2015-13
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    References listed on IDEAS

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    8. Michelle L. Barnes & Fabia Gumbau-Brisa & Denny Lie & Giovanni P. Olivei, 2011. "Estimation of forward-looking relationships in closed form: an application to the New Keynesian Phillips curve," Working Papers 11-3, Federal Reserve Bank of Boston.
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    Cited by:

    1. Denny Lie & Anirudh S. Yadav, 2017. "Time-Varying Trend Inflation and the New Keynesian Phillips Curve in Australia," The Economic Record, The Economic Society of Australia, vol. 93(300), pages 42-66, March.

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