Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2021-11-18
Number: 21-099/III
Author-Name: Marente Vlekke
Author-Workplace-Name: CPB Netherlands Bureau for Economic Policy Analysis, Vrije Universiteit Amsterdam
Author-Name: S.J. Koopman
Author-Workplace-Name: Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES Aarhus University
Author-Name: Martin Mellens
Author-Workplace-Name: CPB Netherlands Bureau for Economic Policy Analysis
Title: An Empirical Assessment of the U.S. Phillips Curve over Time
Abstract: We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space methods which include feasible testing and diagnostic checking procedures. A key finding is that the Phillips curve for U.S. headline inflation has remained empirically
relevant over the years.
Classification-JEL: C18, C32, C52, E24, E31
Keywords: Phillips curve, Inflation, Inflation Expectations, State space methods, Bayesian Gibbs sampling
File-URL: https://papers.tinbergen.nl/21099.pdf
File-Format: application/pdf
File-Size: 1.535.372 bytes
Handle: RePEc:tin:wpaper:20210099