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Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off

Author

Listed:
  • Gbaguidi DAVID

    (Université des Antilles et de la Guyane (CREDDI-LEAD), France Université de la Méditerranée II (GREQAM), France)

Abstract

The current study takes place in the Phillips curve framework in which first, we look at determining econometrics models leading to characterize the dynamics of the main variables underlying the trade-off in univariate contexts. As a result, it appears that an adequate way to characterize the agents' expectations regarding the dynamics of these variables is to consider a combination of some fixed levels (regimes) in the variables evolutions with an agents' adaptive beliefs notion. This expectation process is empirically captured by a Markov Switching Intercept Heteroskedastic-AutoRegressive (MSIH-AR) model. Finally, based on the implied expectations value of the variables, we show that the Phillips curve seems to disappear when the expected inflation rate's impact on its current value converges to its long-term value.

Suggested Citation

  • Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    • Handle: RePEc:srs:jtpref:v:2:y:2011:i:2:p:141-181
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    Cited by:

    1. Verny, Jérôme & Gbaguidi, David Sedo, 2014. "Performance measure of a port-valley system: Data availability and their limits in freight transport and logistics," MPRA Paper 55480, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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