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New evidence on modeling the Phillips Curve and time-varying volatility

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This study re-examines the expectations augmented Phillips Curve allowing for time-varying volatility investigated by Ewing and Seyfried (2003) over a longer time period. Though there is evidence of time-varying variance associated with inflation, the inclusion of the conditional volatility in the mean equation of the GARCH-in-Mean specification of the Phillips Curve did not indicate a significant connection between higher levels of inflation attributable to volatility as found by Ewing and Seyfried (2003).

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File URL: http://www.iei1946.it/RePEc/ccg/SAUNORIS%20PAYNE%20355_364.pdf
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Article provided by Camera di Commercio Industria Artigianato Agricoltura di Genova in its journal Economia Internazionale / International Economics.

Volume (Year): 60 (2007)
Issue (Month): 3 ()
Pages: 355-364

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Handle: RePEc:ris:ecoint:0057
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