Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes
AbstractThis 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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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number v04048.
Length: 15 pages
Date of creation: Jun 2004
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Markov-Switching; unobservable-components; inflation expectation errors; Phillips curve; occasionally integrated process.;
Find related papers by JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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