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The Phillips Curve in the United States and Canada: A GARCHDCC Analysis

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Author Info

  • Lu Yang
  • Shigeyuki Hamori

    ()
    (Kobe University, Japan)

Abstract

By applying the GARCH-DCC model, we reexamine the Phillips curve based on a time-varying correlation analysis for Canada and the United States from January 1985 to December 2012. The empirical results show that the sign of the correlation between the inflation rate and the unemployment rate is negative during recession periods but positive during boom periods

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File URL: http://www.lifescienceglobal.com/independent-journals/journal-of-reviews-on-global-economics/volume-3/85-abstract/jrge/671-abstract-the-phillips-curve-in-the-united-states-and-canada-a-garch-dcc-analysis
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Bibliographic Info

Article provided by Lifescience Global in its journal Journal of Reviews on Global Economics.

Volume (Year): 3 (2014)
Issue (Month): ()
Pages: 1-6

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Handle: RePEc:lif:jrgelg:v:3:y:2014:p:1-6

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Web page: http://www.lifescienceglobal.com

Related research

Keywords: GARCH-DCC model; Phillips curve; financial crisis;

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