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

TY - UNPB

T1 - Dundee Discussion Papers in Economics 277

T2 - Arch and structural breaks in united states inflation

AU - Russell, Bill

PY - 2013/10/4

Y1 - 2013/10/4

N2 - 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.

AB - 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.

KW - Philips curve

KW - ARCH

KW - structural breaks

KW - inflation

KW - markup

M3 - Discussion paper

T3 - Dundee Discussion Papers in Economics

BT - Dundee Discussion Papers in Economics 277

PB - University of Dundee

ER -