Do professional forecasters believe in the Phillips curve? evidence from the G7 countries
AbstractThis paper uses monthly survey data for the G7 countries for the time period 1989–2007 to explore the link between expectations on nominal wages, prices and unemployment rates as suggested by the wage and price Phillips curves. Four major findings stand out. First, we find that survey participants trust in both types of Phillips curve relationships. Second, we find evidence in favor of nonlinearities in the price Phillips curve. Third, we take into account a kink in the price Phillips curve to indicate that the slope of the Phillips curve differs during the business cycle. We find strong evidence of this feature in the data which confirms recent theoretical discussions. Fourth, we employ our data to the expectations-augmented Phillips curve model. The results suggest that professional forecasters adopt this model when forecasting macroeconomic variables. Copyright (C) 2010 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 30 (2011)
Issue (Month): 2 (March)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
Phillips curve ; forecasting ; panel data model ;
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- Laurence M. Ball & JoÃƒÂ£o Tovar Jalles & Prakash Loungani, 2014. "Do Forecasters Believe in OkunÃ¢â‚¬â„¢s Law? An Assessment of Unemployment and Output Forecasts," IMF Working Papers 14/24, International Monetary Fund.
- Paloviita, Maritta & Viren, Matti, 2012. "Inflation and output growth uncertainty in individual survey expectations," Research Discussion Papers 37/2012, Bank of Finland.
- RÃ¼lke, Jan-Christoph, 2012. "Do professional forecasters apply the Phillips curve and Okun's law? Evidence from six Asian-Pacific countries," Japan and the World Economy, Elsevier, Elsevier, vol. 24(4), pages 317-324.
- Rülke, Jan-Christoph, 2012. "Do professional forecasters in Asian–Pacific countries believe in the monetary neutrality?," Economics Letters, Elsevier, vol. 117(1), pages 178-181.
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