The joint dynamics of inflation, unemployment and interest rate in the United States since 1980

Ribba, Antonio

doi:10.1007/s00181-005-0031-8

Cited by 13 publications

(8 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…More recently (Nwala, 2003), came out with the result that in the U.S. there is a momentary trade-off in the adaptive expectations model between unemployment and inflation, however in the long run this trade-off is eliminated through wage and price adjustments. This was confirmed by Ribba (2006), who added that aggregate demand shocks and monetary policy shocks both push unemployment and inflation in opposite directions in the short run, however in the long run permanent supply shocks shape an upward sloping Phillips curve.…”

Section: Introductionmentioning

confidence: 77%

An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)

Khanssa¹,

Nasser²,

Mourad³

2018

IJEF

View full text Add to dashboard Cite

This paper uses econometric modeling to test the nature of the relationship between unemployment and inflation in Lebanon throughout the period 1993-2014. It takes the Phillips curve relationship as a reference for the tests. Cointegration, Granger causality and VECM were used to test the relationship both in the short and in the long run. The study resulted in finding out that the Phillips curve relationship doesn't hold in Lebanon in the short run and came to a conclusion that there is a one-way causality relationship in the long run from unemployment to inflation and not in the opposite direction.

show abstract

Section: Introductionmentioning

confidence: 77%

An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)

Khanssa¹,

Nasser²,

Mourad³

2018

IJEF

View full text Add to dashboard Cite

show abstract

“…The logic behind this test is simple: If variables that would be contained in a sophisticated model of inflation are significantly correlated with the forecast error, agents do not 3 The output gap is a variable of much importance in many models of inflation and it is related to the unemployiment rate according to Okun's law. In addition, the unemployment rate is commonly used in more atheoretical models addressing questions concerning inflation and monetary policy; see, for example, Cogley and Sargent (2001), Primiceri (2005) and Ribba (2006). make efficient use of information when forecasting.…”

Section: Table 1 Results From Estimation Of Equation (1)mentioning

confidence: 99%

The properties of survey-based inflation expectations in Sweden

Jonsson

Österholm

2010

Empir Econ

View full text Add to dashboard Cite

This paper assesses the properties of survey-based inflation expectations in Sweden. The survey is conducted by Prospera once every quarter and consists of respondents from businesses and labour-market organisations. The paper shows that inflation expectations measured in this survey tend to be biased and inefficient forecasts of future inflation. Results also indicate that long-run inflation expectations are overly adaptive with respect to actual inflation. Finally, evaluations of forecast accuracy show that these inflation expectations are worse predictors of inflation than those of a professional forecasting institution and also typically outperformed by a simple autoregressive model. Overall, our results indicate that economic agents' expectations formation process is suboptimal and/or the survey fails to capture the true inflation expectations.

show abstract

“…For example, if lags of inflation expectations were found to be non-zero in a regression of CPI inflation on its own lags and lags of inflation expectations, we would conclude that inflation expectations Granger cause CPI inflation. However, when the number of variables is larger than two and the forecasting horizon is larger than one period, it becomes more complicated; see, for example, Lütkepohl (2005) Primiceri (2005) and Ribba (2006).…”

Section: Granger Causalitymentioning

confidence: 99%

Do inflation expectations granger cause inflation?

Stockhammar

Österholm

2018

Econ Polit

View full text Add to dashboard Cite

In this paper, we investigate whether survey measures of inflation expectations in Sweden Granger cause Swedish CPI-inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data from 1996 to 2016. It is found that the inclusion of inflation expectations in the models tends to improve forecast precision. However, the improvement is typically small enough that it could be described as economically irrelevant. One exception can possibly be found in the expectations of businesses in the National Institute of Economic Research's Economic Tendency Survey; when included in the models, these improve forecast precision in a meaningful way at short horizons. Taken together, it seems that the inflation expectations studied here do not provide a silver bullet for those who try to improve VAR-based forecasts of Swedish inflation. The largest benefits from using these survey expectations may instead perhaps be found among analysts and policy makers; they can after all provide relevant information concerning, for example, the credibility of the inflation target or challenges that the central bank might face when conducting monetary policy.

show abstract

The joint dynamics of inflation, unemployment and interest rate in the United States since 1980

Abstract: Structural var, Cointegration, Inflation, Unemployment, C32, E32, E31,

Cited by 13 publications

References 17 publications

An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)

An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)

The properties of survey-based inflation expectations in Sweden

Do inflation expectations granger cause inflation?

Contact Info

Product

Resources

About