An examination of U.S. Phillips curve nonlinearity and its relationship to the business cycle
We test for and model nonlinearity of the reduced-form U.S. Phillips curve using the smooth transition regression (STR) framework. We find evidence of two regimes: a “high inflation regime” associated with fast rising food and energy prices and a “low inflation regime” associated with slower rising or falling food and energy prices. This suggests that the U.S. Phillips curve varies asymmetrically over the business cycle. Particularly, the U.S. Phillips curve has a tendency to shift in and flatten towards the end of expansion periods and in recessions. This result implies that the non-accelerating inflation rate of unemployment (NAIRU) varies over the short-run or business cycle.
Volume (Year): 29 (2009)
Issue (Month): 2 ()
|Contact details of provider:|| |
References listed on IDEAS
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.:
- Robert J. Gordon, 1998. "Foundations of the Goldilocks Economy: Supply Shocks and the Time-Varying NAIRU," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(2), pages 297-346.
- Oscar Jorda & Alvaro Escribano, 2003.
"Improved Testing And Specification Of Smooth Transition Regression Models,"
9726, University of California, Davis, Department of Economics.
- Jordá, Óscar & Escribano, Álvaro, 1997. "Improved testing and specification of smooth transition regression models," DES - Working Papers. Statistics and Econometrics. WS 6218, Universidad Carlos III de Madrid. Departamento de Estadística.
- Alvaro Escribano & Oscar Jorda, "undated". "Improved Testing And Specification Of Smooth Transition Regression Models," Department of Economics 97-26, California Davis - Department of Economics.
- Janet L. Yellen, 2004.
"Stabilization policy: a reconsideration,"
1, Federal Reserve Bank of San Francisco.
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-08e30008. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.