Journal article
Quantifying the uncertainty about the fit of a new Keynesian pricing model
Journal of monetary economics, v 52(6), pp 1119-1134
01 Sep 2005
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
Recent studies by Gali and Gertler [1999. Inflation dynamics: a structural econometric analysis, Journal of Monetary Economics 44, 195–222] and Sbordone [2002. Prices and unit labor costs: testing models of pricing, Journal of Monetary Economics 49, 265–292] conclude that a theoretical inflation series implied by a forward-looking New Keynesian pricing equation fits post-1960 U.S. inflation closely. Their theoretical inflation series is conditional on (i) a reduced-form forecasting process for real marginal cost; and (ii) the calibration of the pricing equation. The present paper shows that both of these determinants are surrounded by considerable uncertainty. When quantifying the impact of this uncertainty on theoretical inflation, we can no longer say whether the forward-looking pricing equation explains observed inflation dynamics very well or very poorly.
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Details
- Title
- Quantifying the uncertainty about the fit of a new Keynesian pricing model
- Creators
- André Kurmann - Université du Québec à Montréal
- Publication Details
- Journal of monetary economics, v 52(6), pp 1119-1134
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000233292700006
- Scopus ID
- 2-s2.0-27744596763
- Other Identifier
- 991020550342404721
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InCites Highlights
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- Web of Science research areas
- Business, Finance
- Economics