Estimating a high-frequency New-Keynesian Phillips curve

Ahrens, Steffen; Sacht, Stephen

doi:10.1007/s00181-013-0684-7

Cited by 7 publications

(3 citation statements)

References 45 publications

(28 reference statements)

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“…labor is bought for at least one month. Consult also the approach of Franke and Sacht (2014) and Ahrens and Sacht (2014). 7 It is assumed that trading does not take place on weekends.…”

Section: Real Sectormentioning

confidence: 99%

Optimal monetary policy in a new Keynesian model with animal spirits and financial markets

Lengnick

Wohltmann

2016

Journal of Economic Dynamics and Control

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may University of KielHans-Werner Wohltmann * * University of Kiel AbstractThis paper relates to the literature on macro-finance-interaction models. We modify the boundedly rational New Keynesian model of De Grauwe (2010a) using a completely microfounded IS equation, and combine it with the agent-based financial market model of Westerhoff (2008). For this purpose we derive four interactive channels between the financial and real sector where two channels are strictly microfounded. We analyze the impact of the different channels on economic stability and derive optimal (simple) monetary policy rules. We find that coefficients of optimal simple Taylor rules do not significantly change if financial market stabilization becomes part of the central bank's objective function. Additionally, we show that rule-based, backward-looking monetary policy creates huge instabilities if expectations are boundedly rational.JEL classification: E03, E5, G02

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“…labor is bought for at least one month. Consult also the approach of Franke and Sacht (2014) and Ahrens and Sacht (2014). 7 It is assumed that trading does not take place on weekends.…”

Section: Real Sectormentioning

confidence: 99%

Optimal monetary policy in a new Keynesian model with animal spirits and financial markets

Lengnick

Wohltmann

2016

Journal of Economic Dynamics and Control

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“…in the European Commission survey indicators) provided through the ECB Survey of Professional Forecasters. Also see Ahrens and Sacht () for a discussion on using the The Harmonized Index of Consumer Prices (HICP) instead of the GDP deflator in macroeconomic studies.…”

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confidence: 99%

Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching

Jang

Sacht

2015

Metroeconomica

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractIn this paper we empirically examine a hybrid New-Keynesian model with heterogeneous bounded rational agents who may adopt an optimistic or pessimistic attitude -so called animal spirits -towards future movements of the output and inflation gap. The model is estimated via the simulated method of moments using Euro Area data from 1975Q1 to 2009Q4. In addition, we compare its empirical performance to the standard model with rational expectations. Our empirical results show that the modelgenerated auto-and cross-covariances of the output gap, the inflation gap and the nominal interest gap can provide a good approximation of the empirical second moments. The result is mainly driven by a high degree of persistence in the output and inflation gap due to the impact of animal spirits on economic activity. Furthermore, over the whole time interval the agents had expected moderate deviations of the future output gap from its steady state value.

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“… Christiano () and Aadland () may be recalled as the only two references that we know regarding this question. More modestly, Ahrens and Sacht () estimate a high‐frequency New‐Keynesian Phillips curve on daily inflation data for Argentina. In particular, the results for the Calvo price stickiness parameter are quite in line with microeconomic evidence.…”

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confidence: 99%

Some Observations on the High‐frequency Versions of a Standard New‐keynesian Model

Franke

Sacht

2012

Bulletin of Econ Res

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In a small‐scale New‐Keynesian model with a hybrid Phillips curve and IS equation, the paper is concerned with an arbitrary frequency of the agents’ synchronized decision making. It investigates the validity of a fundamental methodological precept according to which no substantive prediction or explanation of a well‐defined macroeconomic period model should depend on the real time length of the period. While this principle is basically satisfied as the period goes to zero, the impulse – response functions of the high‐frequency versions can qualitatively as well as quantitatively be fairly dissimilar from their quarterly counterpart. The result proves to be robust under variations of the degree of price stickiness. The main conclusion is that DSGE modelling may be more sensitive to its choice of the agents’ decision interval.

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Estimating a high-frequency New-Keynesian Phillips curve

Cited by 7 publications

References 45 publications

Optimal monetary policy in a new Keynesian model with animal spirits and financial markets

Optimal monetary policy in a new Keynesian model with animal spirits and financial markets

Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching

Some Observations on the High‐frequency Versions of a Standard New‐keynesian Model

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