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This paper empirically explores the New Keynesian Phillips Curve (NKPC) in multiple quantiles and examines the uncertainty structure of the inflation process focusing on its relation to the asymmetry of monetary policy. We propose a multi-quantile version of the Generalized Method of Moments using the Laplace-type estimator. The empirical findings support the canonical NKPC with larger coefficients...
This paper introduces nonlinearity and a structural break to the US forward-looking Taylor rule with a stock price gap, thereby alleviating the robustness problem that the linear Taylor rule is sensitive to minor changes of the sample period since 1991. The path of the time-varying inflation coefficient shows that, unlike in the linear model, the Fed consistently responds to inflationary pressures...
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