Phillips curve in US: New insights in time and frequency

The paper explores the co-movement between unemployment and inflation rates in US by using a battery of wavelet tools. The dataset covers the period 1945Q1–2017Q4, having quarterly frequency.The main findings reveal a not stable Phillips curve in US, depending on economic context, seasonality and time-persistence. The Phillips curve is not validated during economic turbulences, while it works over expansion economic periods. Even so, the trade-off between unemployment and inflation is unstable under seasonal growth components and time-persistence, running from short- to medium-term. No link between unemployment and inflation is found in the long-term.     

Product market regulation,trend inflation and inflation dynamics in the new Keynesian Phillips curve

In this empirical paper, we take a close look at the impact of the observed decline in the product market regulation, and hence in the barriers to entry and in impediments to competition, on inflation dynamics since the early 1980s.We use an enlarged new Keynesian Phillips curve (NKPC) allowing for entry of firms and increasing competitive pressures with the number of firms and non zero trend inflation.Using OECD indicators on product market regulations, characterized by persistent fluctuations, and taking into account the non stationary properties of the inflation process, we investigate the empirical relevance of this NKPC for inflation dynamics in the US and France, assuming VAR expectations. The results point out that product market regulation is a good candidate as an exogenous structural source of the observed persistence in inflation for the past thirty years in both the US and France.     

The New Keynesian Phillips curve and the role of expectations: Evidence from the CESifo World Economic Survey

We provide evidence on the fit of the hybrid New Keynesian Phillips curve for selected Euro zone countries, the US and the UK. Instead of imposing rational expectations and estimating the Phillips curve by the Generalized Method of Moments, we use direct measures of inflation expectations from the CESifo World Economic Survey. Our main findings are as follows: (i) The use of survey data gives empirical results, which are more reliable than those obtained from the GMM approach. (ii) The purely forward-looking Phillips curve can be rejected in favor of the hybrid New Keynesian Phillips curve. (iii) The estimated coefficients on past inflation are higher when using survey expectations than when using the rational expectations GMM approach. (iv) It remains unclear whether real unit labor costs or a measure of the output gap should be used as a proxy for real marginal costs. (v) Theory-based restrictions lead to an improvement of the empirical results.     

A Phillips curve interpretation of error-correction models of the wage and price dynamics

This paper presents a model of employment, distribution andinflation in which a modern error correction specification ofthe nominal wage and price dynamics (referring to claims onincome by workers and firms) occupies a prominent role. It isbrought out, explicitly, how this rather typical error-correctionsetting, which actually seems to capture the wage and pricedynamics of many large-scale econometric models quite well,is fully compatible with the notion of an old-fashioned Phillipscurve with finite slope. It is shown how the steady-state impactof various shocks to the model can be profitably conceived ofand interpreted in terms of (and to some extent even calculatedby means of) this long-run Phillips curve.     

The shape of the Phillips curve: the case of Indonesia

It is recognized that the effectiveness of monetary policy in the control of inflation depends critically on the relationship between inflation and the output gap. During booms, inflation is highly sensitive to monetary influences, but during recessions this influence is considerably muted. However, econometric investigation of this phenomenon has mostly focussed on the developed economies. In this article, the shape of the Phillips curve is investigated for Indonesia. Evidence is found of significant nonlinearities in the inflation–output relationship for Indonesia and it is argued that this relationship is best modelled by the capacity-constraint (L-shape) model.     

The new Keynesian Phillips curve: endogeneity and misspecification

The wrong or insignificant sign of the forcing variable in the new Keynesian Phillips curve estimations may be a result of the endogeneity of the labour share and misspecification of real marginal cost in the baseline model. We address the misspecification of real marginal cost by formulating a broad measure that features the labour share, output gap and supply shock variables. The endogeneity of the labour share is addressed by using an appropriate lag of the labour share in the Phillips curve. Reduced-form evidence from five developed and five emerging market economies support the empirical validity of the NKPC.     

Nonlinear Phillips curve,NAIRU and monetary policy rules

The US Phillips curve is modeled with a logistic smooth transition autoregression specification that allows various nonlinear shapes. Using this, the paper derives model-consistent estimates of the NAIRU. The NAIRU is defined as the level of unemployment rate that would correspond to a forecast of no inflation changes over the policy horizon. This paper also investigates the implications of nonlinearities in the Phillips curve for deriving optimal monetary policy rules. The optimal policy rule for interest rates and implied sacrifice ratios are found to be nonlinear as well.      

Thought experimentation and the Phillips curve

This paper offers the rationale for presenting a particular type of Phillips curve and develops the dynamic behavior of an economy where such a Phillips curve relation is observed. The specific kind of relation that is explored has similarities with the sticky-information Phillips curve of the Mankiw-Reis framework. Nevertheless, it adds an important dimension: firms need to form expectations about current events on past time periods not because of infrequent optimal updating of information but because producers want to evaluate the possibility of taking advantage of information deficiencies on the consumers’ side. A positive probability of ‘fooling’ consumers with a price above the one imposed by market conditions re-shapes the dynamic relation between the inflation rate and the output gap.     

A simple test of the New Keynesian Phillips Curve

We propose a way to test the New Keynesian Phillips Curve without having to estimate its structural parameters. We find that it does not exist as a combination of the structural parameters consistent with the US data. This might be due to the failure of the joint hypothesis of rational expectations.     

Alternative indicators for predicting the probability of declining inflation: evidence from the US

The performance of inflation indicators for predicting the probabilityof inflation falling inside constant and moving targets is consideredwith a probit model using US data. Given the Federal ReserveSystem's emphasis on achieving price stability, particular attentionis given to the target that future inflation will be below recentinflation. In contrast with earlier years, the unemploymentand capacity utilisation rates do not perform well in forecastingthe direction of inflation in the mid and late 1990s. We suggestthat extending the Keynesian Phillips curve analysis to considerchanges in labour market conditions, technological advance andworker skills, and openness will increase understanding of theseissues.     

Output,Inflation and the New Keynesian Phillips Curve

Explicit modelling of factor markets clarifies two fundamental aspects of the New Keynesian Phillips Curve (NKPC). First, we clarify the relationship between output and marginal cost. Second, for the NKPC in inflation–output space, we identify the key stochastic influences on inflation without recourse to ad hoc cost or excess demand shocks. The econometric implementation of this clarified NKPC, which evolves strictly according news on the stream of future marginal costs, allows us jointly to derive inflation as a forecast of future variables. Our approach clarifies the empirical successes and failures of the NKPC and allows us to provide new aggregate evidence on the degree of price rigidity in the UK economy.     

中国的通货膨胀惯性与通货膨胀不确定性——基于有限理性NKPC模型的分析

本文拓展有限理性菲利普斯曲线模型并结合中国参数进行校准,然后利用校准模型研究中国通货膨胀惯性特征及其与通货膨胀不确定性之间的关系。结果显示,有限理性菲利普斯曲线模型能很好地模拟出与中国实际通货膨胀惯性类似的特征。进一步研究还发现,研究样本期间,中国通货膨胀惯性总体上呈现先上升而逐渐下降的驼峰型特征,而且与通货膨胀预期不确定性存在正向相关关系。这些发现意味着,我国中央银行货币政策滞后效应正在缩短,而为了进一步降低通胀惯性并提高货币政策有效性,引导通货膨胀预期保持稳定是一大途径。     

Macro frictions and theoretical identification of the New Keynesian Phillips curve

I discuss theoretical identification of the New Keynesian Phillips curve, and show that it can be identified with limited information techniques when the data generating process is a New Keynesian model with enough macro frictions or persistent shocks. Monte Carlo experiments illustrate the quantitative relevance of the results.     

Global slack and domestic inflation rates: A structural investigation for G-7 countries

Recent papers have argued that one implication of globalization is that domestic inflation rates may have now become more a function of “global”, rather than domestic, economic conditions, as postulated by closed-economy Phillips curves.This paper aims to assess the empirical importance of global output in determining domestic inflation rates by estimating a structural model for a sample of G-7 economies. The model can capture the potential effects of global output fluctuations on both the aggregate supply and the aggregate demand relations in the economy and it is estimated using full-information Bayesian methods.The empirical results reveal a significant effect of global output on aggregate demand in most countries. Through this channel, global economic conditions can indirectly affect inflation. The results, instead, do not seem to provide evidence in favor of altering domestic Phillips curves to include global slack as an additional driving variable for inflation.     

The joint dynamics of inflation, unemployment and interest rate in the United States since 1980

In this paper, by using a combination of long-run and short-run restrictions, we identify a small structural VECM which includes inflation, unemployment and the federal funds rate and study the dynamic interactions at different frequencies among these variables. Our results show that: (a) in accordance with the traditional view of economic fluctuations, aggregate demand shocks and monetary policy shocks push inflation and unemployment in opposite directions in the short run; (b) the permanent supply shock explains the long-run movement of inflation and unemployment. These conclusions are at odds with the prediction of “natural-rate” models but are consistent with the idea of a propagation mechanism which links productivity shocks to inflation and unemployment at medium and low frequencies. Thus, with respect to some recent studies (e.g. Beyer and Farmer, ECB Working Paper 121, 2002, and Ireland, J Monet Econ 44:279–291, 1999), we offer a different interpretation of the low-frequency comovements between inflation and unemployment characterizing the US economy in the last decades.

产出缺口与中国地区通货膨胀

借鉴开放经济条件下新凯恩斯混合菲利普斯曲线,采用中国省际面板数据,构建一个包含本地区产出缺口、国内其他地区产出缺口和国外产出缺口的三缺口通货膨胀模型,实证分析产出缺口对中国地区通货膨胀的影响,同时分东部和中西部考察区域差异。实证研究结论表明,国内外产出缺口显著影响我国地区通货膨胀。较之中西部地区更多受到国内产出缺口的影响,东部地区则更多受到国外产出缺口的冲击。而且,国内地区间的通货膨胀压力传导在东部地区较中西部更明显。另外,政府的反需求管理措施存在时滞,且政策调控主要降低了本地区产出缺口形成的通货膨胀压力。     

中国新凯恩斯菲利普斯曲线研究

本文提出了包含需求拉动、成本推动、通胀预期和通胀惯性四种因素的新凯恩斯菲利普斯曲线模型,该模型推广了Gordon(1996)的三角模型和Gaíland Gertler(1999)的混合模型等经典菲利普斯曲线模型,具有理论上的完整性。本文使用中国数据对所提出的模型进行了检验,其中采用了基于微观调查数据的通胀预期。经验研究结果表明,新凯恩斯菲利普斯曲线模型的最小二乘估计比GMM估计更具有稳健性。在通胀的四个决定因素中,通胀预期对当前通胀的影响最显著,通胀惯性次之,需求拉动排第三,而成本推动的影响不显著。     

通货膨胀实时预测及菲利普斯曲线的适用性

本文从实时分析的视角,基于多种退势方法的产出缺口最终估计、准最终估计和实时估计序列,分别构建了四类预测模型对我国通货膨胀率进行预测,分析了产出缺口修正效应和滞后阶数变化效应对通胀预测的影响,并进一步考察了产出缺口在通胀预测中的作用及菲利普斯曲线在通胀预测中的适用性。研究结论表明,通胀率的实时预测效果要明显比基于最终数据的差,其中滞后阶数变化效应对实时预测精度的影响大于产出缺口修正效应;尤为重要的是,尽管在最终数据的预测分析中,产出缺口的引入能够提高通胀率的预测精度,但是在实时预测中,产出缺口没有提供有价值的信息,因此"产出—通胀"型菲利普斯曲线在我国通胀实时预测中并不适用。     

Time variation in inflation persistence: New evidence from modelling US inflation

This article explores how inflation persistence relates to the conduct and goals of monetary policy by presenting a new approach to modelling US inflation persistence and the Fed's dual mandate. Our framework fills a gap in pre-existing models by more flexibly accounting for diverse dynamic properties and shocks. Estimating a Phillips Curve model augmented with inflation volatilities and expectations, we find that the degree of monthly inflation persistence is time variant since World War II. Variations in persistence continue to be observed regardless of the absolute level of inflation and the extent of the trade-off between inflation and unemployment. We demonstrate that inflation persistence varies in line with expectations formed by memories of past inflation. This supports the case for more flexible monetary policy at times, as in the 1980s or especially the present decade, when inflation is more persistent.