Unobserved Component Models of the Phillips Relation in the ASEAN Economy
The subject of this paper is the estimation of the Phillips relation ¡V the inflation-output gap tradeoff ¡V for ASEAN countries. Unobserved component (UC) models are employed in order to extract the output gap from GDP data. We also obtain stylised facts on macroeconomic cycles namely, (i) that the average cyclical period for output is approximately four years, and (ii) that the output movement leads that of investment. The inflation equation is then estimated as part of a bivariate model that includes an equation for GDP; the lagged output gaps enter the inflation equation as additional explanatory variables. The evidence for the significant relationship between the output gap and inflation in ASEAN appears to be very weak.
Volume (Year): 5 (2009)
Issue (Month): 2 (July)
|Contact details of provider:|| Postal: |
Web page: http://www.jem.org.tw/
More information through EDIRC
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.:
- Andrew C. Harvey & Thomas M. Trimbur, 2003.
"General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series,"
The Review of Economics and Statistics,
MIT Press, vol. 85(2), pages 244-255, May.
- Harvey, A.C. & Trimbur, T.M., 2001. "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics 0113, Faculty of Economics, University of Cambridge.
- Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
- Bautista, Carlos C., 2003. "Estimates of output gaps in four Southeast Asian countries," Economics Letters, Elsevier, vol. 80(3), pages 365-371, September.
- Charles R. Bean, 2006. "Impact of globalization on monetary policy : commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 307-313.
- Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005.
"Trends and cycles in economic time series: A Bayesian approach,"
Econometric Institute Research Papers
EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007. "Trends and cycles in economic time series: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 140(2), pages 618-649, October.
- Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
- Fumitaka Furuoka, 2007. "Does the “Phillips Curve” Really Exist? New Empirical Evidence from Malaysia," Economics Bulletin, AccessEcon, vol. 5(16), pages 1-14.
- Gali, Jordi & Gertler, Mark, 1999.
"Inflation dynamics: A structural econometric analysis,"
Journal of Monetary Economics,
Elsevier, vol. 44(2), pages 195-222, October.
- Jordi Gali & Mark Gertler, 2000. "Inflation Dynamics: A Structural Econometric Analysis," NBER Working Papers 7551, National Bureau of Economic Research, Inc.
- Jordi Galí & Mark Gertler, 1998. "Inflation dynamics: A structural econometric analysis," Economics Working Papers 341, Department of Economics and Business, Universitat Pompeu Fabra.
- Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
- repec:ebl:ecbull:v:5:y:2007:i:16:p:1-14 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:jec:journl:v:5:y:2009:i:2:p:241-256. 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: (Yi-Ju Su)
If references are entirely missing, you can add them using this form.