Flattening of the Phillips Curve and the Role of Oil Price: An Unobserved Components Model for the USA and Australia
We use the unobserved components model of Harvey (1989 and 2011) to estimate the Phillips curve (PC) for the USA and Australia, by augmenting it with oil prices. We found that the level coefficient of inflation and the coefficient of demand pressure have declined and contributed to the flattening of the Phillips curve. But the coefficient of oil prices has increased and has partly offset these effects. Therefore, oil prices are likely to play a significant role in future inflation rates.
|Date of creation:||06 Mar 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- John M. Roberts, 2006.
"Monetary Policy and Inflation Dynamics,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 2(3), September.
- Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010.
"Inflation-Gap Persistence in the US,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 2(1), pages 43-69, January.
- repec:cup:cbooks:9780521321969 is not listed on IDEAS
- Andrew Harvey, 2011.
"Modelling the Phillips curve with unobserved components,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 21(1-2), pages 7-17.
- Harvey, A., 2008. "Modeling the Phillips curve with unobserved components," Cambridge Working Papers in Economics 0805, Faculty of Economics, University of Cambridge.
- Fuhrer, Jeffrey C., 2010.
Handbook of Monetary Economics,
in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 9, pages 423-486
- Jeffrey C. Fuhrer, 1995. "The Phillips curve is alive and well," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 41-56.
- Edelstein, Paul & Kilian, Lutz, 2009. "How sensitive are consumer expenditures to retail energy prices?," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 766-779, September.
- Olivier Blanchard & Jordi Gali, 2005.
"Real Wage Rigidities and the New Keynesian Model,"
NBER Working Papers
11806, National Bureau of Economic Research, Inc.
- Olivier Blanchard & Jordi Galí, 2007. "Real Wage Rigidities and the New Keynesian Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 35-65, 02.
- Olivier J. Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Blanchard, Olivier J & Galí, Jordi, 2005. "Real Wage Rigidities and the New Keynesian Model," CEPR Discussion Papers 5375, C.E.P.R. Discussion Papers.
- Olivier Blanchard & Jordi Galí, 2005. "Real wage rigidities and the new Keynesian model," Economics Working Papers 912, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
- Olivier Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Working Papers 05-14, Federal Reserve Bank of Boston.
- Olivier Blanchard & Jordi Galí, 2005. "Real Wage Rigidities and the New Keynesian Model," Working Papers 243, Barcelona Graduate School of Economics.
- Commandeur, Jacques J.F. & Koopman, Siem Jan, 2007. "An Introduction to State Space Time Series Analysis," OUP Catalogue, Oxford University Press, number 9780199228874, March.
- Ken Kuttner & Tim Robinson, 2008.
"Understanding the Flattening Phillips Curve,"
RBA Research Discussion Papers
rdp2008-05, Reserve Bank of Australia.
- Kuttner, Ken & Robinson, Tim, 2010. "Understanding the flattening Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 21(2), pages 110-125, August.
- Frederic S. Mishkin, 2007.
NBER Working Papers
13147, National Bureau of Economic Research, Inc.
- John C. Williams, 2006. "Inflation persistence in an era of well-anchored inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct13.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:29606. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.