# Estimating a high-frequency New-Keynesian Phillips curve

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## 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## Notes

### Acknowledgments

We would like to thank Reiner Franke, Matthias Hartmann, Henning Weber and Hans-Werner Wohltmann as well as two anonymous referees for helpful comments. Furthermore we would like to thank the participants of the *2011 Conference on Modeling High Frequency Data in Finance III* at the Stevens Institute of Technology (New Jersey, USA) and the *2011 Annual Meeting of the Swiss Society of Economics and Statistics* at the University of Lucerne (Switzerland) for the discussion of this paper.

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