The cross-correlation between output and nominal variables in new keynesian models calibrated to Brazil and the U.S.

Economia Aplicada

Eurilton Araújo¹ 

[1] ,Banco Central do Brasil

关键词: Cross-correlation;    new Keynesian;    nominal variables;    correlação cruzada;    Novo-Keynesiano;    variáveis nominais;   

DOI  :  10.1590/S1413-80502011000400001

来源: SciELO

【 摘 要 】

This paper investigates if the interaction between habit formation and a forward-looking Taylor rule can mimic the observed dynamic correlations between output and nominal variables (inflation and interest rates) in Brazil and in the U.S. I carry out the analysis in a new Keynesian model under sticky price or sticky information. The empirical cross-correlation pattern, obtained from the data, for Brazil is different from the U.S. pattern. For both countries, the models that I considered cannot replicate with a fair amount of accuracy the dynamic correlations between output and nominal variables, though sticky price models and sticky information models imply different propagation mechanisms for macroeconomic shocks.

【 授权许可】

CC BY-NC   
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