Sections
 Register now
 

Discussion Papers

2008-23
Mikael Juselius
Testing the New Keynesian Model on U.S. and Euro Area Data
May 21, 2008

Abstract

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series data. I find that the restrictions implied by the core equations of the NK-model are rejected regardless of sample periods or measures of real marginal costs. I also provide a tentative explanation of the results favored by previous researches.

Paper submitted to the special issue “Using Econometrics for Assessing Economic Models” edited by Katarina Juselius

JEL Classification

C32 C52 E31 E52

Citation

Mikael Juselius (2008). Testing the New Keynesian Model on U.S. and Euro Area Data. Economics Discussion Papers, No 2008-23. http://www.economics-ejournal.org/economics/discussionpapers/2008-23

Assessment

Downloads: 209


Comments and Questions


Referee Report - Anonymous - June 10, 2008 - 11:13

see attached file

[ Download attached file ]

Response to Referee Report - Mikael Juselius - June 18, 2008 - 11:30

see attached file

[ Download attached file ]

Revised Version of the Discussion Paper - Mikael Juselius - June 18, 2008 - 11:31

see attached file

[ Download attached file ]

Referee Report - Anonymous - June 30, 2008 - 10:12

see attached file

[ Download attached file ]

Response to Referee Report - Mikael Juselius - July 03, 2008 - 14:12

see attached file

[ Download attached file ]

Revised Version of the Discussion Paper - Mikael Juselius - July 03, 2008 - 14:17

see attached file

[ Download attached file ]