Estimating United States Phillips curves with expectations consistent with the statistical process of inflation

Russell, Bill; Chowdhury, Rosen Azad

doi:10.1016/j.jmacro.2012.11.004

Cited by 15 publications

(18 citation statements)

References 35 publications

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“…For the case of the United States, in particular, it has been said that the inability of certain activity measures to predict inflation means not necessarily that there is no relationship between usual measures of activity and future inflation, but that there is a weak relationship between the two variables which, if linear, could be associated with a small and probably unstable parameter. 1 This view is consistent with a number of studies that have reported a degree of instability in inflation model parameters for countries as diverse as the Bolivarian Republic of Venezuela (Pagliacci and Barráez, 2010), Canada (Hostland, 1995), Colombia (Melo and Misas, 1997) and the United States (Russell and Chowdhury, 2013). …”

supporting

confidence: 75%

“…This also goes against the findings of Stock and Watson (1999), Rudebusch and Svensson (1999) and Estrella and Fuhrer (2003), since it reflects a predictive instability in Phillips curves which, according to Clark and McCracken (2006), is not reported in these latter articles. Similarly, as noted in the Introduction, there is also evidence of instability in the parameters of some specifications for inflation in the Bolivarian Republic of Venezuela, Canada, Colombia and the United States as estimated by Hostland (1995), Melo and Misas (1997), Russell and Chowdhury (2013) and Pagliacci and Barráez (2010).…”

Section: The Low Predictive Power Of Simple Phillips Curves In Chile mentioning

confidence: 55%

“…For this, it is traditional to employ instrumental variables or strategies of identification by heteroskedasticity. Interesting applications of or variations on these methodologies can be found in Russell and Chowdhury (2013) and in García-Solanes and Torrejón-Flores (2012), as well as in the article by Yeh (2009) already cited, to mention just a few studies.…”

Section: Estimation Simultaneity and Endogeneitymentioning

confidence: 99%

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The low predictive power of simple Phillips curves in Chile

Brown¹,

Hurtado²

2016

CEPAL Review

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This study uses some backward-looking versions of Phillips curves, estimated from both revised and real-time data, to explore the existence, robustness and size of the contribution that a variety of activity measures may make to the task of predicting inflation in Chile.The main results confirm the findings of the recent international literature: the predictive power of the activity measures considered here is episodic, unstable and of moderate size. This weak predictive contribution is robust to the use of final and real-time data.

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supporting

confidence: 75%

Section: The Low Predictive Power Of Simple Phillips Curves In Chile mentioning

confidence: 55%

Section: Estimation Simultaneity and Endogeneitymentioning

confidence: 99%

See 1 more Smart Citation

The low predictive power of simple Phillips curves in Chile

Brown¹,

Hurtado²

2016

CEPAL Review

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“…3 See also Russel and Chowdhury (2013) about "modern" theories of the Phillips curve and Nason and Smith (2008) about the application of the New Keynesian Phillips curve to the USA.…”

Section: Datamentioning

confidence: 99%

The Phillips Curve in Italy

Rosa

2014

Economia E Desenvolvimento

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The estimation of the Phillips curve in Italy, using the wage inflation rate as a dependent variable, based on annual data from the period 1961-2012, using the Johansen Method, allows us to conclude two things. Firstly, in the long term, there are two long-term relationships: the wage inflation rate relates positively to the inflation rate, negatively to the unemployment rate and positively to the average labour productivity growth index, as was expected; the inflation rate relates positively to the wage inflation rate, negatively to the unemployment rate and positively to the average labour productivity growth index, as was expected. Secondly, in the short term, the variation of the wage inflation rate relates positively and significantly to the error correction mechanism of the first long-term relationship; therefore, there is a significant response to the equilibrium error between the wage inflation rate and its determinants (inflation rate, unemployment rate, labour productivity growth index). Besides this adjustment, the variation of wage inflation rate responds significantly and negatively to the variation in unemployment rate and significantly and positively to the average labour productivity growth. JEL Classification: C12, C32, E24, E31

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“…En particular, para el caso de los Estados Unidos de América, se ha dicho que la falta de capacidad de ciertas medidas de actividad para predecir inflación no obedecería necesariamente a una ausencia de relación entre medidas usuales de actividad e inflación futura, sino a una relación débil entre ambas variables, que de ser lineal podría estar vinculada a un parámetro pequeño y probablemente inestable 1 . Esta visión es consistente con una serie de trabajos que han reportado cierta inestabilidad en los parámetros de modelos de inflación para países tan diversos como el Canadá (Hostland, 1995); Colombia (Melo y Misas, 1997); Estados Unidos de América (Russell y Chowdhury, 2013) y Venezuela (República Bolivariana de) (Pagliacci y Barráez, 2010).…”

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El escaso poder predictivo de simples curvas de Phillips en Chile

Brown

Hurtado

2016

Revista De La CEPAL

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RESUMENEn este trabajo se explora la existencia, robustez y magnitud del eventual aporte que puedan tener diversas medidas de actividad en la tarea de predecir inflación en Chile, sobre la base de algunas versiones retrospectivas (backward-looking) de curvas de Phillips estimadas tanto con datos revisados como con datos en tiempo real. Los principales resultados confirman los hallazgos de la literatura reciente a nivel internacional: el aporte predictivo de las medidas de actividad aquí consideradas es episódico, inestable y de magnitud moderada. Este precario aporte predictivo es robusto a la utilización de datos definitivos y en tiempo real.

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Estimating United States Phillips curves with expectations consistent with the statistical process of inflation

Cited by 15 publications

References 35 publications

The low predictive power of simple Phillips curves in Chile

The low predictive power of simple Phillips curves in Chile

The Phillips Curve in Italy

El escaso poder predictivo de simples curvas de Phillips en Chile

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