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

Aristidou, Chrystalleni

Authors

Chrystalleni Aristidou lezca@nottingham.ac.uk



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.

Journal Article Type Article
Journal Journal of Macroeconomics
Print ISSN 0164-0704
Electronic ISSN 0164-0704
Publisher Elsevier
Peer Reviewed Peer Reviewed
APA6 Citation Aristidou, C. (in press). The meta-Phillips Curve: modelling U.S. inflation in the presence of regime change. Journal of Macroeconomics, ISSN 0164-0704
Keywords Inflation; Hybrid New Keynesian Phillips Curve; Model averaging; Structural breaks
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf
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The meta PC FINAL.pdf (682 Kb)
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Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





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