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2015-01-12Buch DOI: 10.18452/4567
Estimation of NAIRU withInflation Expectation Data
dc.contributor.authorCui, Wei
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorWang, Weining
dc.date.accessioned2017-06-16T01:12:10Z
dc.date.available2017-06-16T01:12:10Z
dc.date.created2015-06-18
dc.date.issued2015-01-12
dc.date.submitted2015-01-12
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5219
dc.description.abstractEstimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment, inflation, and inflation expectation. However, existing literature falls short in endogenizing inflation expectation together with NAIRU in a model consistent way. We develop and estimate a structural model with forward and backward looking Phillips curve. Inflation expectation is treated as a function of state variables and we use survey data as its observations. We find out that the estimated NAIRU using our methodology tracks the unemployment process closely except for the high inflation period around 1970. Moreover, the estimated Bayesian credible sets are narrower and our model leads to better inflation and unemployment forecasts. These results suggest that monetary policy was very effective during the sample periods and there was not much room for policy improvement.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectNAIRUeng
dc.subjectInflation Expectationeng
dc.subjectNew Keynesian Phillips Curveeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleEstimation of NAIRU withInflation Expectation Data
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100230787
dc.identifier.doihttp://dx.doi.org/10.18452/4567
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue10
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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