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

Aristidou, Chrystalleni

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
• Contract Date: Jul 11, 2018