Economia Aplicada | |
The cross-correlation between output and nominal variables in new keynesian models calibrated to Brazil and the U.S. | |
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
All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License
【 预 览 】
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