Economia
WORKING PAPER SERIES
NO 1236 / AUGUST 2010
IS THE NEW KEYNESIAN IS CURVESTRUCTURAL?
by Livio Stracca
Abstract
There is already a small literature emphasising the empirical failure of the New
Keynesian IS curve, but it is not yet known if this failure reects empirical problems
associated with small samples or is rather a structural weakness of the underlying
model. To address this question, in this paper I estimate the New Keynesian IS
curve for output and consumption and several possible extensions on panel data
from 22 OECD countries over 40 years of data. I also evaluate whether the key
parameters of the IS curve change according to countries economic and nancial
structure. The main nding is that output and consumption are mainly forward
looking, and this is a very robust feature of the data. At the same time, I nd
little evidence in favour of the traditional speci cation where the real interest rate
enters with a negative sign due to intertemporal substitution; on the contrary, it is
typically either insigni cant or wrongly signed. Overall, I conclude that the New
Keynesian IS curve, at least in its most common formulations, is not structural and
is overwhelmingly rejected by the data.
Keywords: IS curve, New Keynesian model, panel data, Instrumental variables.
JEL: E21, E44, E52.
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Economia
Modelo keynesiano - crítica da curva IS
WORKING PAPER SERIES
NO 1236 / AUGUST 2010
IS THE NEW KEYNESIAN IS CURVESTRUCTURAL?
by Livio Stracca
Abstract
There is already a small literature emphasising the empirical failure of the New
Keynesian IS curve, but it is not yet known if this failure reects empirical problems
associated with small samples or is rather a structural weakness of the underlying
model. To address this question, in this paper I estimate the New Keynesian IS
curve for output and consumption and several possible extensions on panel data
from 22 OECD countries over 40 years of data. I also evaluate whether the key
parameters of the IS curve change according to countries economic and nancial
structure. The main nding is that output and consumption are mainly forward
looking, and this is a very robust feature of the data. At the same time, I nd
little evidence in favour of the traditional speci cation where the real interest rate
enters with a negative sign due to intertemporal substitution; on the contrary, it is
typically either insigni cant or wrongly signed. Overall, I conclude that the New
Keynesian IS curve, at least in its most common formulations, is not structural and
is overwhelmingly rejected by the data.
Keywords: IS curve, New Keynesian model, panel data, Instrumental variables.
JEL: E21, E44, E52.
loading...
- Ainda Mexe!...
"Phillips Curve for Advanced Economies on Period 1996-2007 - United States and Euro Area Case" Eduardo G. Manuel «We concluded that the true form of Phillips curve for short and long-run will not be verified always that exist equal evolution of their...
- O Multiplicador Keynesiano Pode Ser Negativo
KEYNESIAN GOVERNMENT SPENDING MULTIPLIERS AND SPILLOVERS IN THE EURO AREA by Tobias Cwik and Volker Wieland Abstract The global financial crisis has lead to a renewed interest in discretionary fiscal stimulus. Advocates of...
- Keynes' Teoria Especial
TheMoneyIllusion A slightly off-center perspective on monetary problems. The Special Theory of Employment, Interest and Money I recently reread John Cochrane’s now infamous 2009 attack on fiscal stimulus for about the 4th time, and it’s not getting...
- Causas Da Grande Recessão
Roger FarmerNBER Working Paper No. 17479 Issued in October 2011 NBER Program(s): EFG This paper argues that the stock market crash of 2008, triggered by a collapse in house prices, caused the Great Recession. The paper has three parts. First, it provides...
- Dinâmica Em Um Modelo Novo-keynesiano Quando A Taxa Nominal De Juros é Zero
Interessante este artigo aqui: "Recent research has found that the dynamics of the New Keynesian model are very di ferent when the nominal interest rate is zero. Improvements in technology and reductions in the labor tax rate lower economic activity and...