ARCH and structural breaks in United States inflation

Bill Russell

doi:10.1080/13504851.2014.902017

ARCH and structural breaks in United States inflation

Bill Russell (Lead / Corresponding author)

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Abstract

United States Phillips curves are routinely estimated without accounting for the shifts in mean inflation. As a result, we may expect the standard estimates of Phillips curves to be biased and suffer from auto-regressive conditional heteroscedasticity (ARCH). We demonstrate this is indeed the case. We also demonstrate that once the shifts in mean inflation are accounted for, the ARCH is largely eliminated in the estimated model and the model defining expected rate of inflation in the New Keynesian model plays no significant role in the dynamics of inflation.

Original language	English
Pages (from-to)	973-978
Number of pages	6
Journal	Applied Economics Letters
Volume	21
Issue number	14
Early online date	9 Apr 2014
DOIs	https://doi.org/10.1080/13504851.2014.902017
Publication status	Published - 2014

Keywords

Philips curve
ARCH
structural breaks
inflation
markup
C22
E31

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10.1080/13504851.2014.902017

accepted manuscript_Russell
This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 9 March 2014, available online: http://www.tandfonline.com/doi/abs/10.1080/13504851.2014.902017
Accepted author manuscript, 421 KB

Cite this

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ARCH and structural breaks in United States inflation

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Keywords

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