New evidence on modeling the Phillips Curve and time-varying volatility
AbstractThis study re-examines the expectations augmented Phillips Curve allowing for time-varying volatility investigated by Ewing and Seyfried (2003) over a longer time period. Though there is evidence of time-varying variance associated with inflation, the inclusion of the conditional volatility in the mean equation of the GARCH-in-Mean specification of the Phillips Curve did not indicate a significant connection between higher levels of inflation attributable to volatility as found by Ewing and Seyfried (2003).
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Bibliographic InfoArticle provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.
Volume (Year): 60 (2007)
Issue (Month): 3 ()
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Phillips Curve; GARCH; Inflation;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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