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Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes

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  • Guillaume Guerrero

    (EUREQua)

  • Nicolas Million

    ()
    (EUREQua)

Abstract

This paper proposes a new empirical representation of inflation expectations errors in a Space-State Markov-Switching framework. We explicitly identify the dynamics of inflation expectation errors using the expectations augmented Markov-Switching Phillips curve as a measurement equation. In this paper we consider expected inflation as the underlying component of observed inflation. We thus use the same type of specification (occasionally integrated process) to describe their dynamics. We have found that dynamics of inflation expectation errors change across regimes. These switches can be associated with breaks in the Phillips Curve.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2004/V04048.pdf
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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number v04048.

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Length: 15 pages
Date of creation: Jun 2004
Date of revision:
Handle: RePEc:mse:wpsorb:v04048

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Related research

Keywords: Markov-Switching; unobservable-components; inflation expectation errors; Phillips curve; occasionally integrated process.;

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  1. Kim, C-J., 1991. "Dynamic Linear Models with Markov-Switching," Papers 91-8, York (Canada) - Department of Economics.
  2. Levi, Maurice D & Makin, John H, 1979. "Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest," Journal of Finance, American Finance Association, vol. 34(1), pages 35-52, March.
  3. Sargent, Thomas J, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 83(1), pages 127-40, February.
  4. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 163-82, April.
  5. Robert J. Gordon, 1996. "The Time-Varying NAIRU and its Implications for Economic Policy," NBER Working Papers 5735, National Bureau of Economic Research, Inc.
  6. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
  7. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 42(166), pages 123-38, May.
  8. Alesina, Alberto, 1988. "Credibility and Policy Convergence in a Two-Party System with Rational Voters," American Economic Review, American Economic Association, vol. 78(4), pages 796-805, September.
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