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The Phillips curve at 65: Time for time and frequency

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  • Aguiar-Conraria, Luís
  • Martins, Manuel M.F.
  • Soares, Maria Joana

Abstract

We estimate the U.S. New Keynesian Phillips Curve in the time-frequency domain with continuous wavelet tools to provide integrated answers to three controversial issues. (1) Has the short-run tradeoff been stable? (2) What has been the role of expectations? (3) Is there a long-run tradeoff? First, we find that the short-run tradeoff is limited to some specific episodes and that there is no evidence of nonlinearities or structural breaks. Second, households’ expectations captured trend inflation until the Great Recession, but not since 2008. Finally, there is no significant long-run tradeoff. In the long-run, expectations explain inflation.

Suggested Citation

  • Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2023. "The Phillips curve at 65: Time for time and frequency," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    • Handle: RePEc:eee:dyncon:v:151:y:2023:i:c:s016518892300026x
    DOI: 10.1016/j.jedc.2023.104620
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    Keywords

    Phillips curve; Inflation; Unemployment; Business cycles; Continuous wavelet transform; Partial wavelet gain;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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