OeNB Freitagsseminar with Martin Wagner

Sources and Channels of Instabilities and Nonlinearities: Results for the Euro Area and Its Member States

OeNB Freitagsseminar with Martin Wagner, University Klagenfurt
The paper presents evidence for sources and channels of nonlinearities and instabilities of the new Keynesian Phillips curve (NKPC) for the euro area and all but four member states over the last two decades prior to the COVID-19 crisis. The approach rests upon misspecification testing using auxiliary regressions based on the standard open-economy hybrid NKPC. Using a large number of specifications, this approach allows to systematically, i. e., based on a literature review, disentangle the evidence for nonlinearities and instabilities of the NKPC according to sources and channels. For the euro area and most considered member states, there is substantial evidence for nonlinearities and instabilities. The relatively most important channels of nonlinearities and instabilities are similar across countries, whereas the relatively most important sources differ across countries. The results strongly indicate the need for considering nonlinear NKPC relationships in empirical analyses and also point towards potentially useful nonlinear specifications.

Date
Friday, 13 October 2023 | Start: 11:00 AM | End: 12:30 PM              

Venue
The event is planned both, online via Webex and onsite at the Oesterreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Vienna. 

Please register by 10 October 2023, at the latest.