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Pranešėja – Milda Norkutė (Lundo universitetas, Švedija) - podoktorantūros tyrėja ir vyr. dėstytoja Lundo universitete, aukšto lygio mokslininkė, kuri specializuojasi panelinių duomenų ekonometrikos ir taikomosios makroekonomikos srityse.
In this paper the New Keynesian Phillips curves (NKPC) for the European countries are estimated using a recently developed econometric approach that allows for a consistent estimation of dynamic panel data models with endogeneity and multifactor error structure. Typically, the NKPC is estimated by assuming that the rational expectations hypothesis holds and replacing expected inflation by actual inflation, which makes the forward-looking component in the NKPC correlated with the error term, which in turn leads to endogeneity issue. Another source of endogeneity may stem from possible correlation of the real marginal costs and unobserved common factors in the error term of the NKPC, which is reasonable to expect due to implied cross-sectional dependence driven by multifactor error structure. In this light, the aim of this paper is to investigate the NKPC using European data by employing the novel econometric approach that allows for both sources of endogeneity, which has not been done previously in the existing literature. The main findings provide some statistical evidence in favour of the NKPC in European countries.