Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes
This paper proposes a new empirical representation of inflation expectations errors in a Space-State Markov-Switching framework. We explicitly identify the dynamics of inflation expectation errors using the expectations augmented Markov-Switching Phillips curve as a measurement equation. In this paper we consider expected inflation as the underlying component of observed inflation. We thus use the same type of specification (occasionally integrated process) to describe their dynamics. We have found that dynamics of inflation expectation errors change across regimes. These switches can be associated with breaks in the Phillips Curve.
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