Publication
Mar 2011
This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Moments. Allowing for higher-thanusual frequencies strongly mitigates the well-known problems of smallsample biases and structural breaks. Applying a daily frequency allows us to obtain eventspecific estimates for the Calvo parameter of nominal rigidity - for instance for the recent financial and economic crisis -, which can be easily transformed into their weekly, monthly and quarterly equivalences to be employed for the analysis of eventspecific monetary and fiscal policy.
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English (PDF, 22 pages, 269 KB) |
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Author | Steffen Ahrens, Stephen Sacht |
Series | Kiel Institute Working Papers |
Issue | 1686 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2011 Kiel Institute for the World Economy |