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International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data
Author(s) -
BYRNE JOSEPH P.,
KONTONIKAS ALEXANDROS,
MONTAGNOLI ALBERTO
Publication year - 2013
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12030
Subject(s) - economics , phillips curve , inflation (cosmology) , aggregate (composite) , econometrics , new keynesian economics , estimation , aggregate data , panel data , macroeconomics , keynesian economics , monetary policy , statistics , mathematics , physics , materials science , management , theoretical physics , composite material
We present a unique empirical analysis of the properties of the New Keynesian Phillips Curve (NKPC) using an international data set of aggregate and disaggregate sectoral inflation. Our results from panel time‐series estimation clearly indicate that sectoral heterogeneity has important consequences for aggregate inflation behavior. Heterogeneity helps to explain the overestimation of inflation persistence and underestimation of the role of marginal costs in empirical investigations of the NKPC that use aggregate data. We find that combining disaggregate information with heterogeneous‐consistent estimation techniques helps to reconcile, to a large extent, the NKPC with the data.