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La courbe de Phillips au Canada : un examen de quelques hypothèses

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  • Jean-François Fillion
  • André Léonard
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    Abstract

    This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve. Among the various explanations we consider for the persistent underestimation of inflation, the one that emerges most clearly from our findings is that the process by which inflation expectations are formed has changed in recent years. Shifts in expectations appear to have been influenced by monetary policy developments. To take account of this factor, we estimate a Phillips curve that incorporates four autoregressive regimes based on the results of a Markov-switching model. We find that when regimes are introduced, the Phillips curve produces accurate forecasts for inflation since 1991.

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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-3.pdf
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    Bibliographic Info

    Paper provided by Bank of Canada in its series Working Papers with number 97-3.

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    Length: 38 pages
    Date of creation: 1997
    Date of revision:
    Handle: RePEc:bca:bocawp:97-3

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    Keywords: Inflation and prices; Inflation targets;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
    2. Doug Hostland, . "CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications," Working Papers 95-5, Bank of Canada.
    3. Peter Clark & Douglas Laxton & David Rose, 1996. "Asymmetry in the U.S. Output-Inflation Nexus," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 216-251, March.
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    Cited by:
    1. Javier Gómez & José Darío Uribe & Hernando Vargas, . "The Implementation of Inflation Targeting in Colombia," Borradores de Economia 202, Banco de la Republica de Colombia.
    2. Luis Fernando Melo & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
    3. Enrique López & Martha Misas, . "Un Exámen Empírico de la Curva de Phillips en Colombia," Borradores de Economia 117, Banco de la Republica de Colombia.
    4. St-Amant, Pierre & Tessier, David, 1998. "Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire," Working Papers 98-23, Bank of Canada.
    5. Martha Misas & Enrique López & Pablo Querubín, . "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 199, Banco de la Republica de Colombia.
    6. Frédérick Demers, 2003. "The Canadian Phillips Curve and Regime Shifting," Working Papers 03-32, Bank of Canada.
    7. Eiji Fuji & Jeannine Bailliu, 2004. "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation," Computing in Economics and Finance 2004 135, Society for Computational Economics.
    8. Pierre Fortin & George A. Akerlof & William T. Dickens & George L. Perry, 2002. "Inflation and Unemployment in the U.S. and Canada: A Common Framework," Cahiers de recherche du Département des sciences économiques, UQAM 20-16, Université du Québec à Montréal, Département des sciences économiques.
    9. Perrier, Patrick, 1998. "Un examen de la crédibilité de la politique monétaire au Canada," Working Papers 98-12, Bank of Canada.
    10. Kichian, Maral, 1999. "Measuring Potential Output within a State-Space Framework," Working Papers 99-9, Bank of Canada.
    11. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada.
    12. Javier Gómez & Juan Manuel Julio, . "An Estimation of the Nonlinear Philips Curve in Colombia," Borradores de Economia 160, Banco de la Republica de Colombia.
    13. Dupasquier, Chantal & Ricketts, Nicholas, 1998. "Non-Linearities in the Output-Inflation Relationship: Some Empirical Results for Canada," Working Papers 98-14, Bank of Canada.
    14. Gerald Stuber, 2001. "Implications of Uncertainty about Long-Run Inflation and the Price Level," Working Papers 01-16, Bank of Canada.
    15. Jeannine Bailliu & Daniel Garcés & Mark Kruger & Miguel Messmacher, 2003. "Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico," Working Papers 03-17, Bank of Canada.
    16. Marc-André Gosselin & Greg Tkacz, 2001. "Evaluating Factor Models: An Application to Forecasting Inflation in Canada," Working Papers 01-18, Bank of Canada.

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