Trend inflation and weak identification in the New Keynesian Phillips curve

• Ano de defesa: 2024
• Autor(a) principal: MENDES, Igor Manoel Bezerra Roque
• Orientador(a): SILVA, Marcelo Eduardo Alves da
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Universidade Federal de Pernambuco
• Programa de Pós-Graduação: Programa de Pos Graduacao em Economia
• País: Brasil
• Palavras-chave em Português: Phillips, curva de; Inferência robusta; Funções de impulso Respostas
• Link de acesso: https://repositorio.ufpe.br/handle/123456789/55851

In this work, we estimate the generalized New Keynesian Phillips curve (GNKPC) us- ing monetary shocks as instruments. We employ an approach that is robust to weak instruments and is valid regardless of the shocks’ variance contribution to construct con- fidence intervals. Our point estimates suggest that not considering trend inflation tends to overestimate the cost of disinflation. We also show that the effects of expectational terms are not stable. Finally, we show considerable uncertainty about the true values of the parameters of the GNKPC, as in some cases the confidence intervals are unbounded. These findings have important implications for monetary policy and indicate that cau- tion should be exercised in the choices and calibrations of dynamic stochastic general equilibrium models.