Contracting models of the Phillips curve empirical estimates for middle-income countries

被引:14
作者
Agenor, Pierre-Richard [2 ]
Bayraktar, Nihal [1 ]
机构
[1] Penn State Univ Harrisburg, Middletown, PA 17057 USA
[2] Univ Manchester, Sch Social Sci Econ, Ctr Growth & Business Cycle Res, Manchester M60 1QD, Lancs, England
关键词
New Keynesian Phillips curve; GMM; Middle-income countries; OPTIMAL MONETARY-POLICY; INFLATION DYNAMICS; OPEN-ECONOMY; STRUCTURAL-CHANGE; TESTS; COST; IDENTIFICATION; PERSISTENCE; PARAMETER; PRICES;
D O I
10.1016/j.jmacro.2009.09.002
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper provides empirical estimates of contracting models of the Phillips curve for eight middle-income developing countries (Chile, Colombia, Korea, Malaysia, Mexico, Morocco, Tunisia, and Turkey). Following an analytical review, a variety of models with one and more leads and lags are estimated using two-step GMM techniques. Nested and non-nested tests are used to select a specification for each country, and in-sample predictive capacity and stability are analyzed. Higher-dimension models tend to perform better than parsimonious models with one lead and one lag. Except for Colombia and Korea, backward-looking behavior has a relatively larger impact on inflation dynamics. World oil prices and relative input prices have a limited effect, whereas borrowing costs are significant for Korea and Mexico. (C) 2009 Elsevier Inc. All rights reserved.
引用
收藏
页码:555 / 570
页数:16
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