A time-varying volatility approach to modeling the phillips curve: A cross-country analysis
This research examines the Phillips curve price adjustment mechanism allowing for the conditional variance of inflation to be time varying. Specifically, we estimate ARCH and GARCH models of inflation for Canada, Japan, and the U.K. The results suggest that an increase in the conditional variability of inflation leads to higher levels of inflation. In addition, inclusion of inflation variability in the Phillips curve model results in a higher weight being attributed to the output gap than in traditional models. (JEF E24) Copyright Springer 2004
Volume (Year): 28 (2004)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/journal/12197/PS2|
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.:
- Reagan, Patricia & Stulz, Rene M, 1993.
"Contracting Costs, Inflation, and Relative Price Variability,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 25(3), pages 585-601, August.
- Patricia Reagan & Rene M. Stulz, 1993. "Contracting costs, inflation, and relative price variability," Proceedings, Federal Reserve Bank of Cleveland, pages 585-611.
When requesting a correction, please mention this item's handle: RePEc:spr:jecfin:v:28:y:2004:i:2:p:186-197. 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.