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Phillips Curve (2012)
BibTeX
@MISC{Ahrens12phillipscurve,
author = {Steffen Ahrens and Stephen Sacht and Steffen Ahrens and Stephen Sacht and Steffen Ahrens and Stephen Sacht},
title = {Phillips Curve},
year = {2012}
}
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Abstract
This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Moments. Allowing for higher-than-usual frequencies strongly mitigates the well-known problems of small-sample bias and structural breaks. Applying a daily frequency allows us to obtain estimates for the Calvo parameter of nominal rigidity over a very short period- for instance for the recent financial and economic crisis- which can then be easily transformed into their low-frequency equivalences. With Argentine data from the end of 2007 to the beginning of 2011 we estimate the daily Calvo parameter and find that on average prices remain fixed for approximately two to three months which is in line with recent microeconomic evidence.
Keyphrases
phillips curve calvo parameter higher-than-usual frequency recent microeconomic evidence small-sample bias generalized method argentine data economic crisis daily calvo parameter high-frequency new keynesian phillips curve short period nominal rigidity structural break well-known problem average price low-frequency equivalence daily frequency
