Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area*
用向量自回归模型和似然方法检验混合新凯恩斯菲利普斯曲线，重点处理变量非平稳的情况，发现该曲线远不能作为欧元区通胀动态的良好近似。
Abstract This paper addresses the issue of testing the ‘hybrid’ New Keynesian Phillips curve (NKPC) through vector autoregressive (VAR) systems and likelihood methods, giving special emphasis to the case where the variables are non‐stationary. The idea is to use a VAR for both the inflation rate and the explanatory variable(s) to approximate the dynamics of the system and derive testable restrictions. Attention is focused on the ‘inexact’ formulation of the NKPC. Empirical results over the period 1971–98 show that the NKPC is far from providing a ‘good first approximation’ of inflation dynamics in the Euro area.