Dundee Discussion Papers in Economics 277: Arch and structural breaks in united states inflation

    Research output: Working paperDiscussion paper

    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.
    Original languageEnglish
    PublisherUniversity of Dundee
    Number of pages18
    Publication statusPublished - 4 Oct 2013

    Publication series

    NameDundee Discussion Papers in Economics
    PublisherUniversity of Dundee
    No.277
    ISSN (Print)1473-236X

    Keywords

    • Philips curve
    • ARCH
    • structural breaks
    • inflation
    • markup

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