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The meta-Phillips Curve: modelling U.S. inflation in the presence of regime change

Aristidou, Chrystalleni

Authors

Chrystalleni Aristidou



Abstract

A novel approach to modelling inflation dynamics is presented based on a set of Hybrid New-Keynesian Phillips Curves, distinguished by the regime duration and measures of real marginal cost, and combined into a meta-Phillips Curve using model averaging techniques. The analysis of US data over 1950q1 - 2016q1 shows that, while the importance of expectations of future inflation varies through time depending on the monetary policy regime and economic environment, future expectations make a more substantial contribution to current inflation than past inflation, and that the labour share is superior to the output gap as a measure of cyclical pressures on prices.

Citation

Aristidou, C. (2018). The meta-Phillips Curve: modelling U.S. inflation in the presence of regime change. Journal of Macroeconomics, 57, 367-379. https://doi.org/10.1016/j.jmacro.2018.07.002

Journal Article Type Article
Acceptance Date Jul 6, 2018
Online Publication Date Jul 27, 2018
Publication Date Sep 30, 2018
Deposit Date Jul 11, 2018
Publicly Available Date Jul 28, 2019
Journal Journal of Macroeconomics
Print ISSN 0164-0704
Electronic ISSN 0164-0704
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 57
Pages 367-379
DOI https://doi.org/10.1016/j.jmacro.2018.07.002
Keywords Inflation; Hybrid New Keynesian Phillips Curve; Model averaging; Structural breaks
Public URL https://nottingham-repository.worktribe.com/output/945423
Publisher URL https://www.sciencedirect.com/science/article/pii/S0164070418300041

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