La courbe de Phillips au Canada : un examen de quelques hypothèses
This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve. Among the various explanations we consider for the persistent underestimation of inflation, the one that emerges most clearly from our findings is that the process by which inflation expectations are formed has changed in recent years. Shifts in expectations appear to have been influenced by monetary policy developments. To take account of this factor, we estimate a Phillips curve that incorporates four autoregressive regimes based on the results of a Markov-switching model. We find that when regimes are introduced, the Phillips curve produces accurate forecasts for inflation since 1991.
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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.:
- Canova, Fabio, 1998.
"Detrending and business cycle facts,"
Journal of Monetary Economics,
Elsevier, vol. 41(3), pages 475-512, May.
- Doug Hostland, 1995.
"CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications,"
- Doug Hostland, . "CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications," Working Papers 95-5, Bank of Canada.
- Douglas Laxton & Peter B. Clark & David Rose, 1995. "Asymmetry in the U.S. Output-Inflation Nexus; Issues and Evidence," IMF Working Papers 95/76, International Monetary Fund.
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