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dc.contributor.authorCassou, Steven P.
dc.contributor.authorVázquez Pérez, Jesús ORCID
dc.date.accessioned2012-01-24T13:05:01Z
dc.date.available2012-01-24T13:05:01Z
dc.date.issued2010-04
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6472
dc.description.abstractThis paper uses a new method for describing dynamic comovement and persistence in economic time series which builds on the contemporaneous forecast error method developed in den Haan (2000). This data description method is then used to address issues in New Keynesian model performance in two ways. First, well known data patterns, such as output and inflation leads and lags and inflation persistence, are decomposed into forecast horizon components to give a more complete description of the data patterns. These results show that the well known lead and lag patterns between output and inflation arise mostly in the medium term forecasts horizons. Second, the data summary method is used to investigate a rich New Keynesian model with many modeling features to see which of these features can reproduce lead, lag and persistence patterns seen in the data. Many studies have suggested that a backward looking component in the Phillips curve is needed to match the data, but our simulations show this is not necessary. We show that a simple general equilibrium model with persistent IS curve shocks and persistent supply shocks can reproduce the lead, lag and persistence patterns seen in the data.es
dc.description.sponsorshipSome of this research was supported by the Spanish Ministry of Education and Science, grant numbers SEJ2006-12793/ECON and SEJ2007-66592-C03-01-02/ECON. 2006-2009, Basque Government grants IT-214-07 and GME0702. Cassou would also like to thank Ikerbasque for financial support.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relation.ispartofseriesDFAEII 2010.05
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectoutput and inflation comovementes
dc.subjectinflation persistencees
dc.subjectforecast errorses
dc.titleNew Keynesian Model Features that Can Reproduce Lead, Lag and Persistence Patternses
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelE31
dc.subject.jelE32
dc.subject.jelE37
dc.identifier.repecRePEc:ehu:dfaeii:201005es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaMACROECONOMICS AND MONETARY ECONOMICS
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported