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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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    References listed on IDEAS

    as
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    5. 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.
    6. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
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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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