Estimating a High-Frequency New- Keynesian Phillips Curve
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.
© 2011 Kiel Institute for the World Economy
Steffen Ahrens, Stephen Sacht