Time Varying NAIRU Estimates in Central Europe
AbstractThis paper estimates Phillips curve relationships for the data of four Central European countries, the Czech Republic, Hungary, Poland and Slovakia, using a sample period from the mid-1990s till 2012. For the estimation Gordon’s triangle model is used with the Kalman filter, where the time-varying NAIRU is described as a latent variable following a random walk, and its deviation from the actual unemployment rate affects inflation, among other factors. The inclusion of inflation expectations is found to be statistically significant, albeit it significantly reduces the size and significance of the unemployment gap coefficient. The results show that so far only the Czech Republic and Hungary exhibit a significant inflation-unemployment trade-off, while the results for Poland and Slovakia do not support such a relationship.
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Bibliographic InfoPaper provided by Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest in its series Working Papers with number 1306.
Length: 14 pages
Date of creation: 20 Jun 2013
Date of revision:
unemployment; Phillips curve; time varying NAIRU; Kalman filter;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
- NEP-EEC-2013-08-05 (European Economics)
- NEP-TRA-2013-08-05 (Transition Economics)
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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"New tests of the New-Keynesian Phillips curve,"
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- Gregor W. Smith, 2008.
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