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
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Volume (Year): 28 (2004)
Issue (Month): 2 (June)
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- Patricia Reagan & Rene M. Stulz, 1993.
"Contracting costs, inflation, and relative price variability,"
Federal Reserve Bank of Cleveland, pages 585-611.
- 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.
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