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

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  • Agénor, Pierre-Richard
  • Bayraktar, Nihal

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 32 (2010)
Issue (Month): 2 (June)
Pages: 555-570

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Handle: RePEc:eee:jmacro:v:32:y:2010:i:2:p:555-570

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Web page: http://www.elsevier.com/locate/inca/622617

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Keywords: New Keynesian Phillips curve GMM Middle-income countries;

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Cited by:
  1. González, Roberto & Sala, Hector, 2011. "The Frisch Elasticity in the Mercosur Countries: A Pseudo-Panel Approach," IZA Discussion Papers 5993, Institute for the Study of Labor (IZA).
  2. Pablo Pincheira B., 2009. "La Dinámica de la Persistencia Inflacionaria en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(1), pages 97-104, April.
  3. Juan de Dios Tena & Jorge Dresdner & Ivan Araya, 2007. "A multimarket approach to estimate a New Keynesian Phillips Curve," Statistics and Econometrics Working Papers ws076917, Universidad Carlos III, Departamento de Estadística y Econometría.
  4. Malikane, Christopher, 2012. "Inflation dynamics and the cost channel in emerging markets," MPRA Paper 42688, University Library of Munich, Germany.
  5. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.
  6. Malikane, Christopher, 2013. "A New Keynesian Triangle Phillips Curve," MPRA Paper 43548, University Library of Munich, Germany.

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