期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2001
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：A persistent criticism of general equilibrium models of monetary policy
which incorporate nominal inertia in the form of the New Keynesian
Phillips Curve (NKPC) is that they fail to capture the extent of inflation
inertia in the data. In this paper we derive a general equilibrium model
based on optimising behaviour, but which also implies a data consistent
NKPC. Specifically our model accounts for nominal inertia in both price
and wage setting as well for habits in consumption. Using US and European
data from 1970 to 1998 our parameter estimates reveal that (i)
there is relatively more inertia in price-setting in Europe; (ii) wage contracts
last longer in the US; (iii) the extent of backward-looking behaviour
in price and wage setting is statistically significant but small in both the
US and Europe; and (iv) significant habits effects are present in European
consumption. Finally we simulate the effects of monetary policy and find
that while the magnitude of the impact of monetary policy on the endogenous
variables in our estimated models are similar to other econometric
studies, the dynamic paths for variables display less inertia than is typically
found in studies which use output gaps to proxy changes in marginal
costs.
