We propose a new approach for estimating a “hybrid” New Keynesian Phillips Curve (NKPC) that includes demand pressures coming from disequilibrium relations in three different markets: (1) monetary and financial, (2) international, and (3) labour. Econometric tests based on Chilean data indicate that this specification is superior to the traditional NKPC, which includes a single variable to account for demand pressures. Moreover, considering cointegration relationships in the monetary and labour markets is particularly useful for forecasting the dynamics of inflation compared to an alternative specification based on a standard measure of output fluctuation.