Working Paper

Estimating a High-Frequency New-Keynesian Phillips Curve


  • Ahrens
  • S.
  • Sacht
  • S.
Publication Date

This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Moments. Allowing for higher-thanusual frequencies strongly mitigates the well-known problems of

smallsample biases and structural breaks. Applying a daily frequency allows us to obtain eventspecific

estimates for the Calvo parameter of nominal rigidity - for instance for the recent financial and

economic crisis -, which can be easily transformed into their weekly, monthly and quarterly equivalences to be employed for the analysis of eventspecific monetary and fiscal policy. With

Argentine data from the end of 2007 to the beginning of 2011, we find the daily Calvo parameter to

vary in a very close range around 0.97, which implies averagely fixed prices of approximately 40 days

or equivalently one and a half month or a little less than half a quarter. This has strong implication for the modeling of monetary policy analysis since it implies that at a quarterly frequency a flexible price model has to be employed. In the same vein, to analyze monetary policy in a sticky price framework, a monthly model seems more appropriate.


JEL Classification
C26, C63, E31

Key Words

  • Calvo Staggering
  • GMM
  • High-Frequency NKM