Technology Shocks in the New Keynesian Model

Ireland, Peter T.

doi:10.3386/w10309

Cited by 180 publications

(298 citation statements)

References 30 publications

(46 reference statements)

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“…The evidence on whether supply (or cost) shocks also produce humps, particularly in inflation, is more mixed. Gali (1992) finds they do not, while Ireland (2004) finds that they do.…”

Section: Threshold Switching and The 'Preemption Dividend'mentioning

confidence: 99%

Endogenous Monetary Policy Regime Change

Davig

Leeper

2006

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This paper makes changes in monetary policy rules (or regimes) endogenous. Changes are triggered when certain endogenous variables cross specified thresholds. Rational expectations equilibria are examined in three models of threshold switching to illustrate that (i) expectations formation effects generated by the possibility of regime change can be quantitatively important; (ii) symmetric shocks can have asymmetric effects; (iii) endogenous switching is a natural way to formally model preemptive policy actions. In a conventional calibrated model, preemptive policy shifts agents' expectations, enhancing the ability of policy to offset demand shocks; this yields a quantitatively significant "preemption dividend."

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“…The evidence on whether supply (or cost) shocks also produce humps, particularly in inflation, is more mixed. Gali (1992) finds they do not, while Ireland (2004) finds that they do.…”

Section: Threshold Switching and The 'Preemption Dividend'mentioning

confidence: 99%

Endogenous Monetary Policy Regime Change

Davig

Leeper

2006

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“…12 Ireland (2004) also emphasizes the centrality of this shock, in his model a "cost-push" shock, in achieving data consistency.…”

Section: The Hybrid Modelmentioning

confidence: 99%

Intrinsic and Inherited Inflation Persistence

Fuhrer

2005

SSRN Journal

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In the conventional view of inflation, the New Keynesian Phillips curve (NKPC) captures most of the persistence in inflation. The sources of persistence are twofold. First, the "driving process" for inflation is quite persistent, and the NKPC implies that inflation must "inherit" this persistence. Second, backward-looking or indexing behavior imparts some "intrinsic" persistence to inflation. This paper shows that, in practice, inflation in the NKPC inherits very little of the persistence of the driving process, and it is intrinsic persistence that constitutes the dominant source of persistence. The reasons are that, first, the coefficient on the driving process is small, and, second, the shock that disturbs the NKPC is large.JEL Codes: E31, E52.

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“…Alternately, η t can be interpreted as a cost, technology, or real aggregate demand shock; see Ireland (2002) for a discussion.…”

Section: Identification With Strict Exogeneitymentioning

confidence: 99%

Identifying the New Keynesian Phillips Curve

Nason

Smith

2005

SSRN Journal

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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. Abstract: Phillips curves are central to discussions of inflation dynamics and monetary policy. New Keynesian Phillips curves describe how past inflation, expected future inflation, and a measure of real marginal cost or an output gap drive the current inflation rate. This paper studies the (potential) weak identification of these curves under generalized methods of moments (GMM) and traces this syndrome to a lack of persistence in either exogenous variables or shocks. The authors employ analytic methods to understand the identification problem in several statistical environments: under strict exogeneity, in a vector autoregression, and in the canonical three-equation, New Keynesian model. Given U.S., U.K., and Canadian data, they revisit the empirical evidence and construct tests and confidence intervals based on exact and pivotal Anderson-Rubin statistics that are robust to weak identification. These tests find little evidence of forward-looking inflation dynamics. Terms of use: Documents inJEL classification: E31, C32

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Technology Shocks in the New Keynesian Model

Cited by 180 publications

References 30 publications

Endogenous Monetary Policy Regime Change

Endogenous Monetary Policy Regime Change

Intrinsic and Inherited Inflation Persistence

Identifying the New Keynesian Phillips Curve

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