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 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.
plays no significant role in the dynamics of inflation.
Original language | English |
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Publisher | University of Dundee |
Number of pages | 18 |
Publication status | Published - 4 Oct 2013 |
Publication series
Name | Dundee Discussion Papers in Economics |
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Publisher | University of Dundee |
No. | 277 |
ISSN (Print) | 1473-236X |
Keywords
- Philips curve
- ARCH
- structural breaks
- inflation
- markup