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Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes

Author

Listed:
  • Guillaume Guerrero

    (EUREQua)

  • Nicolas Million

    (EUREQua)

Abstract
This paper proposes a new empirical representation of inflation expectations errors in a Space-State Markov-Switching framework. We explicitly identify the dynamics of inflation expectation errors using the expectations augmented Markov-Switching Phillips curve as a measurement equation. In this paper we consider expected inflation as the underlying component of observed inflation. We thus use the same type of specification (occasionally integrated process) to describe their dynamics. We have found that dynamics of inflation expectation errors change across regimes. These switches can be associated with breaks in the Phillips Curve

Suggested Citation

  • Guillaume Guerrero & Nicolas Million, 2004. "Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes," Cahiers de la Maison des Sciences Economiques v04048, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:v04048
    as

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    File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2004/V04048.pdf
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    References listed on IDEAS

    as
    1. Robert J. Gordon, 1997. "The Time-Varying NAIRU and Its Implications for Economic Policy," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 11-32, Winter.
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    3. Thomas J. Sargent, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 83(1), pages 127-140.
    4. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
    5. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
    6. Levi, Maurice D & Makin, John H, 1979. "Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest," Journal of Finance, American Finance Association, vol. 34(1), pages 35-52, March.
    7. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    8. repec:bla:econom:v:42:y:1975:i:166:p:123-38 is not listed on IDEAS
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Markov-Switching; unobservable-components; inflation expectation errors; Phillips curve; occasionally integrated process;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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