Breaks and the statistical process of inflation: the case of estimating the 'modern' long-run Phillips curve

被引：2

作者：

Russell, Bill ^{[1
]}

Rambaccussing, Dooruj ^{[1
]}

机构：

[1] Univ Dundee, Dundee DD1 4HN, Scotland

来源：

EMPIRICAL ECONOMICS | 2019年 / 56卷 / 05期

关键词：

Phillips curve; Inflation; Structural breaks; Non-stationary data; UNIT-ROOT TEST; CHANGE-POINT; STRUCTURAL-CHANGE; TESTS; EXPECTATIONS; REGRESSION; SEGMENTATION; VOLATILITY;

D O I：

10.1007/s00181-017-1404-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

'Modern' theories of the Phillips curve inadvertently imply that inflation is an integrated or near-integrated process, but this implication is strongly rejected using US data. Alternatively, if we assume that inflation is a stationary process around a shifting mean (due to changes in monetary policy), then any estimate of long-run relationships in the data will suffer from a 'small-sample' problem as there are too few stationary inflation 'regimes'. Using the extensive literature on identification of structural breaks, we identify inflation regimes which are used in turn to estimate with panel data techniques the US long-run Phillips curve.

引用

页码：1455 / 1475

页数：21

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[1] Investigating genomic structure using changept: A Bayesian segmentation model [J].