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  1. An empirical assessment of the U.S. Phillips curve over time
    Author: Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C.
    Published: [2021]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
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    We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space methods which include feasible testing and diagnostic checking procedures. A key finding is that the Phillips curve for U.S. headline inflation has remained empirically relevant over the years.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/248783
    Series: Array ; TI 2021, 099
    Subjects: Phillips curve; Inflation; Inflation Expectations; State space methods; Bayesian Gibbs sampling
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen