Empirical Analysis of Monetary Policy
Katarína Daniąková
PhD thesis advisor: Jarko Fidrmuc

PhD thesis - Full text   

Summary: Phillips curve has become an important part of modern monetary policy models. It describes the relationship between inflation and real marginal cost, which is derived from micro-founded models with rational expectations and sticky prices. Moreover, differentiated subjects on the market may adapt their expectations based on the future and past development. These enhancements answer the previous critique of the Phillips curve. We estimate several specifications of the New Keynesian Phillips curve for the Czech Republic between 1996 and 2009. We show that the GMM suffers under the problem of weak instruments leading to biased estimates. In turn, the FIML is robust and yields significant estimates of structural parameters implying a strong forward-looking behaviour. We also review about 200 studies and analyse the weight of the forward-looking behaviour in the hybrid New Keynesian Phillips curve by means of meta-analysis. Results confirm that selected data and method characteristics have significant impact on the reported inflation expectations term. Moreover, meta-analysis suggests a significant publication bias including publications in top journals, while no such bias is found for the most cited studies and the most cited authors.

Related papers

[1] DANI©KOVÁ, Katarína, FIDRMUC, Jarko (2011). Inflation Convergence and the New Keynesian Phillips Curve in the Czech Republic. Czech Economic Review 5(2), 99?115.
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[2] FIDRMUC, Jarko, DANI©KOVÁ, Katarína (2012). Meta-analysis of the New Keynesian Phillips curve. Working Papers 314, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
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