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Is the Inflation-Output Nexus Asymmetric in the Euro Area?

  • Baghli, M.
  • Cahn, C.
  • Fraisse, H.

This paper challenges the assumption that the inflation process within the euro area is well-described by a linear Phillips curve and investigates in a nonparametric framework how inflation is sensitive to output growth. An asymmetric output-inflation trade-off is pointed out in the euro area at both aggregated and individual country levels.

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File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/ner140.pdf
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Paper provided by Banque de France in its series Working papers with number 140.

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Length: 23 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:bfr:banfra:140
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Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS

Web page: http://www.banque-france.fr/

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  1. Athanasios Orphanides & John C. Williams, 2003. "Robust monetary policy rules with unknown natural rates," Finance and Economics Discussion Series 2003-11, Board of Governors of the Federal Reserve System (U.S.).
  2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  3. John F. Henry & L. Randall Wray, 1998. "Economic Time," Macroeconomics 9811004, EconWPA.
  4. P Clark & D Laxton, 1997. "Phillips Curves," CEP Discussion Papers dp0344, Centre for Economic Performance, LSE.
  5. Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
  6. Athanasios Orphanides & Simon Van_Norden, 2000. "The Reliability of Output Gap Estimates in Real Time," Econometric Society World Congress 2000 Contributed Papers 0768, Econometric Society.
  7. Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
  8. Andrews, Donald W.K. & Buchinsky, Moshe, 2002. "ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS," Econometric Theory, Cambridge University Press, vol. 18(04), pages 962-984, August.
  9. Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, EconWPA.
  10. Laxton, Douglas & Rose, David & Tambakis, Demosthenes, 1999. "The U.S. Phillips curve: The case for asymmetry," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1459-1485, September.
  11. Jeremy B. Rudd & Karl Whelan, 2001. "New tests of the New-Keynesian Phillips curve," Finance and Economics Discussion Series 2001-30, Board of Governors of the Federal Reserve System (U.S.).
  12. Park, Sangin, 2003. "Semiparametric instrumental variables estimation," Journal of Econometrics, Elsevier, vol. 112(2), pages 381-399, February.
  13. Joseph Stiglitz, 1997. "Reflections on the Natural Rate Hypothesis," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 3-10, Winter.
  14. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  15. Guy Debelle & Douglas Laxton, 1997. "Is the Phillips Curve Really a Curve? Some Evidence for Canada, the United Kingdom, and the United States," IMF Staff Papers, Palgrave Macmillan, vol. 44(2), pages 249-282, June.
  16. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  17. Douglas Laxton & Guy M Meredith & David Rose, 1994. "Asymmetric Effects of Economic Activityon Inflation; Evidence and Policy Implications," IMF Working Papers 94/139, International Monetary Fund.
  18. Eric Schaling, 1999. "The non-linear Phillips curve and inflation forecast targeting," Bank of England working papers 98, Bank of England.
  19. Fagan, Gabriel & Henry, Jerome & Mestre, Ricardo, 2005. "An area-wide model for the euro area," Economic Modelling, Elsevier, vol. 22(1), pages 39-59, January.
  20. Singh, Radhey S. & Ullah, Aman, 1985. "Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression," Econometric Theory, Cambridge University Press, vol. 1(01), pages 27-52, April.
  21. Athanasios Orphanides, 1998. "Monetary policy evaluation with noisy information," Finance and Economics Discussion Series 1998-50, Board of Governors of the Federal Reserve System (U.S.).
  22. Peter B. Clark & Douglas Laxton & David Rose, 1995. "Capacity Constraints, Inflation and the Transmission Mechanism; Forward-Looking Versus Myopic Policy Rules," IMF Working Papers 95/75, International Monetary Fund.
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