Empirical Economics

, Volume 46, Issue 2, pp 607–628 | Cite as

Estimating a high-frequency New-Keynesian Phillips curve

Article

Abstract

This paper estimates a high-frequency New-Keynesian Phillips curve via the generalized method of moments. Allowing for higher-than-usual frequencies strongly mitigates the problems of small-sample bias and structural breaks. Applying a daily frequency allows us to obtain estimates for the Calvo parameter of nominal rigidity over a very short period—for instance for the recent financial and economic crisis—which can then be easily transformed into their low-frequency equivalences. With Argentine data from the end of 2007 to the beginning of 2011 we estimate the daily Calvo parameter and find that on average prices remain fixed for approximately two to three months which is in line with recent microeconomic evidence.

Keywords

Calvo staggering High-frequency New-Keynesian model  GMM 

JEL Classifications

C26 E31 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Kiel Institute for the World Economy KielGermany
  2. 2.Department of EconomicsChristian-Albrechts-University Kiel KielGermany

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