A time-varying volatility approach to modeling the phillips curve: A cross-country analysis期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

A time-varying volatility approach to modeling the phillips curve: A cross-country analysis

Authors:	William?L.?Seyfried mailto:seyfriedw@winthrop.edu" title=" seyfriedw@winthrop.edu" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,Bradley?T.?Ewing

Affiliation:	(1) Department of Accounting, Finance, and Economics, Winthrop University, 29733 Rock Hill, SC;(2) Area of Information Systems and Quantitative Science, Rawls College of Business, Texas Tech University, 79409-2101 Lubbock, TX

Abstract:	This research examines the Phillips curve price adjustment mechanism allowing for the conditional variance of inflation to be time varying. Specifically, we estimate ARCH and GARCH models of inflation for Canada, Japan, and the U.K. The results suggest that an increase in the conditional variability of inflation leads to higher levels of inflation. In addition, inclusion of inflation variability in the Phillips curve model results in a higher weight being attributed to the output gap than in traditional models. (JEF E24)

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