Phillips curve Research Papers - Academia.edu (original) (raw)

This paper develops a comparative analysis of different forecasting approaches for the aggregate which is a main target of the monetary policy in Argentina. First we present the results of estimating a conditional EqC model of money... more

This paper develops a comparative analysis of different forecasting approaches for the aggregate which is a main target of the monetary policy in Argentina. First we present the results of estimating a conditional EqC model of money demand, which characterizes the whole sample and shows “ex-post” constancy. Then we compare forecasts from this “causal” model with those obtained by other methods: VAR in differences, “naive” (univariate) models and robustified devices, as well as forecasting aggregates by disaggregates and by model and window pooling forecasts. They are evaluated for a period in which there was often uncertainty about the economic regime.

This paper investigated the trade-off and inflation drivers based on the Phillips curve framework to determine the relationship and their impact between inflation, unemployment and output for Kenyan case from 2006:M1 to 2016:M12 by... more

This paper investigated the trade-off and inflation drivers based on the Phillips curve framework to determine the relationship and their impact between inflation, unemployment and output for Kenyan case from 2006:M1 to 2016:M12 by contrasting the 2SLS on 2 different measures of marginal cost with 3 differently instrumented shocks. Results confirmed; (1) significant trade-off that reduced inflation by 2.09% and 0.08% when unemployment and output respectively increase by 1%, while, 1% increase in output demeaned unemployment by 0.02%, (2) the forward-looking inflation and unemployment significantly drive observed inflation, and (3) unlike monetary supply, oil shocks best accounts for the observed dynamics. Although laudable policies been implemented by fiscal and macro-economic planners, they have not achieved the odds to sufficiently contain the import shocks, making both unemployment and the rational expectations to significantly drive the observed inflation. However, revisiting of...

In this paper we try to check if and how the macroeconomic performances induced by a Taylor’s rule based kind of monetary policy are (or not) more efficient than those effectively induced by the most important central bank’s monetary... more

In this paper we try to check if and how the macroeconomic performances induced by a Taylor’s rule based kind of monetary policy are (or not) more efficient than those effectively induced by the most important central bank’s monetary policies. In this kind of respect, we use a simple three equations model: a Phillips equation, an aggregate demand equation and

Studies evaluating the e¢ cacy of monetary policy rules and regimes are often based a benchmark new Keynesian model where the parameters are assumed to be policy invariant. It is possible, however, that some key parameters may not be... more

Studies evaluating the e¢ cacy of monetary policy rules and regimes are often based a benchmark new Keynesian model where the parameters are assumed to be policy invariant. It is possible, however, that some key parameters may not be invariant to changes in monetary policy. In this paper, we use a hybrid new Keynesian Phillips curve to examine the in‡ation versus price-level targeting debate when the proportion of rule-of- thumb price setters is allowed to change endogenously with the monetary regime. Although there are other factors that may also be endogenous, we focus on in‡ation inertia since it has been identi…ed in the literature as a crucial parameter aecting the performance of monetary policy. � This paper was prepared for the Bank of Canada's annual conference entitled "New Frontiers in Monetary Policy Design," to be held November 12 and 13, 2009. The views expressed are the authors'and do not necessarily re‡ect those of the Bank of Canada or its sta¤.

The current paper analyses the new Keynesian Phillips curve (NKPC) in the context of selected MENA countries over the 1990-2016 period. This study has used Pooled Mean Group (PMG) and Fully Modified Ordinary Least Square (FMOLS)... more

The current paper analyses the new Keynesian Phillips curve (NKPC) in the context of selected MENA countries over the 1990-2016 period. This study has used Pooled Mean Group (PMG) and Fully Modified Ordinary Least Square (FMOLS) estimation methods for the empirical analysis. For the dynamic heterogeneous panels, PMG developed by Pesaran et al. (1999) is the most suitable technique. The outcomes by FMOLS asserted that inflation and unemployment are unrelated in the long run, corroborating the long run Philips Curve theory. While, the empirical outcomes obtained by PMG indicate negative linkage between unemployment and inflation in the long run. Nevertheless, the notion of the tradeoff between the inflation and unemployment that expressed by a short-run Phillips curve is not observed in the selected MENA countries. The findings of this study corroborate the hybrid version of NKPC. Moreover, it establishes of the study suggest that the dynamic inflation can be used as a HNKPC model for...

This study aims to assess the impact of economic growth and inflation on unemployment in Somalia by testing the Phillips curve and Okun’s law hypothesis utilizing the autoregressive distributed lag (ARDL) model and time series data... more

This study aims to assess the impact of economic growth and inflation on unemployment in Somalia by testing the Phillips curve and Okun’s law hypothesis utilizing the autoregressive distributed lag (ARDL) model and time series data covering the period from 1991 to 2017. The empirical results reveal the existence of long-run cointegration among the variables. Moreover, a negative relationship is established between economic growth and unemployment both in the short run and long run, hence confirming the validity of Okun’s law hypothesis in Somalia. The impact of inflation on unemployment is inconsequential in the long run, although a strong negative association exists in the short run, thus supporting the presence of the Phillips curve hypothesis in Somalia in the short run. The study recommends that policymakers should enact policies that favor economic growth to mitigate unemployment and create a balance between the required level of inflation and unemployment in Somalia.

The Czech Economic Association, in co-operation with the Czech National Bank, organised a public seminar on ?The State of the Phillips Curve,? which featured a lecture by Professor Laurence Ball, in Prague in April 2001. Professor Ball, a... more

The Czech Economic Association, in co-operation with the Czech National Bank, organised a public seminar on ?The State of the Phillips Curve,? which featured a lecture by Professor Laurence Ball, in Prague in April 2001. Professor Ball, a professor of economics at John Hopkins University, began with a historical description of the Phillips curve and approach. He then dealt with the existence of the micro-foundation in the Phillips curve approach to invalidate the Lucas critique. Next, Professor Ball described the varying national experiences of the US and several EU countries, basing his explanation for the latter on the principle of hysteresis. Professor Ball concluded the lecture by providing several reasons as to why hysteresis occurs in the labour market.

Downloadable! There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy with sticky prices a la Calvo and forward looking behavior. In... more

Downloadable! There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy with sticky prices a la Calvo and forward looking behavior. In this paper we extend this standard model ...

In this paper hypothesis of relation between unemployment and the rate of change in prices is tested in Croatia with data spanning from 1962 to 2004. Empirical test is designed with a goal of testing the original Phillips curve developed... more

In this paper hypothesis of relation between unemployment and the rate of change in prices is tested in Croatia with data spanning from 1962 to 2004. Empirical test is designed with a goal of testing the original Phillips curve developed by A. W. Phillips and adaptive expectation augmented Phillips curve designed by Edmund S. Phelps. Since both these versions of the relationship were designed for the US economy, authors suggest a new theory of accommodation through insolvency for the Croatian economy

In this paper we estimate a Phillips curve for South Africa using a bounded random walk model. Central bank credibility, the slope of the Phillips curve, the natural rate of unemployment and the central bank’s in‡ation target band are... more

In this paper we estimate a Phillips curve for South Africa using a bounded random walk model. Central bank credibility, the slope of the Phillips curve, the natural rate of unemployment and the central bank’s in‡ation target band are time-varying. We …find that the slope of the Phillips curve has ‡attened since the mid 2000s - particularly after the Great Recession - which is in line with the …findings in most advanced countries. Our results do not lend support to the hypothesis that the ability of the SARB to hit its in‡flation target has decreased. With respect to the faith in the IT regime as measured by the degree to the extent of which in‡flation expectations are anchored to the target our results indicate that the SARB’s credibility has decreased from 1994 to 2001, remained constant from 2001 to 2008, and eventually increased around 2008. This pattern is different from that of advanced countries where expectations have become better anchored relatively early in the IT...

This paper studies monthly RPIX inflation in the UK in the context of the change to inflation targeting in 1992. Our empirical models take account of the strong and changing seasonal pattern of inflation, while also focusing on inflation... more

This paper studies monthly RPIX inflation in the UK in the context of the change to inflation targeting in 1992. Our empirical models take account of the strong and changing seasonal pattern of inflation, while also focusing on inflation persistence and Phillips curve explanations. In ...

This study aims to investigate the role of the slope of the real interest rate curve of treasury securities in predicting the future economic situation in Morocco. Economic theory suggests that the slope of rates can be explained by three... more

This study aims to investigate the role of the slope of the real interest rate curve of treasury securities in predicting the future economic situation in Morocco. Economic theory suggests that the slope of rates can be explained by three factors: the effects of monetary policy, expectations of monetary policy, and the intertemporal smoothing of consumption. Our theoretical model focuses on the latter explanation, suggesting that households aim to maintain a constant level of consumption, regardless of fluctuations in interest rates and the economic situation. To examine this relationship, we constructed a regression model that includes several lagged financial and/or monetary explanatory variables, such as real interest rates. This analysis utilizes quarterly data from 2007 to 2023. Our results underscore the importance of the information embedded in the structure of real interest rates, particularly the spread of real interest rates, for analyzing and forecasting future economic growth in Morocco.

The recent literature on monetary policy has raised many questions about the trade-off between inflation and unemployment and the assumption of a constant NAIRU. This paper tries to investigate the effects of monetary policy on NAIRU in... more

The recent literature on monetary policy has raised many questions about the trade-off between inflation and unemployment and the assumption of a constant NAIRU. This paper tries to investigate the effects of monetary policy on NAIRU in Iran. We implement a structural Vector Auto Regression (VAR) model to measure the effects of monetary policy in shaping NAIRU in Irans economy. Our results suggest that monetary policy has negligible effects on NAIRU and the unemployment rate is mainly affected by labor market imperfections, such as wage rigidity, labor law, regulations, and institutions that do not match with todays world economy.

Suddenly, in the aftermath of the 2008 global financial crisis, the king turned naked. Or we all realized that he was naked. Neoclassical economics was dominant since the late 1970s, but proved unable to explain and predict the behavior... more

Suddenly, in the aftermath of the 2008 global financial crisis, the king turned naked. Or we all realized that he was naked. Neoclassical economics was dominant since the late 1970s, but proved unable to explain and predict the behavior of economic systems. Mainstream economics, based on the homo economicus and on the rational expectations assumptions, concluded from them that markets were efficient and self-regulated. They were not. It also concluded that the existing market failures were eventually minor and did not questioned ...