Modeling The Philips Curve: A Time-Varying Volatility Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
- Robert G. King & Mark W. Watson, 1997.
"Testing long-run neutrality,"
Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 69-101.
- Robert King & Mark W. Watson, 1992. "Testing Long Run Neutrality," NBER Working Papers 4156, National Bureau of Economic Research, Inc.
- Robert G. King & Mark W. Watson, 1992. "Testing long run neutrality," Working Paper Series, Macroeconomic Issues 92-18, Federal Reserve Bank of Chicago.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Cukierman, Alex & Meltzer, Allan H, 1986. "A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information," Econometrica, Econometric Society, vol. 54(5), pages 1099-1128, September.
- Patricia Reagan & Rene M. Stulz, 1993.
"Contracting costs, inflation, and relative price variability,"
Proceedings, Federal Reserve Bank of Cleveland, pages 585-611.
- Reagan, Patricia & Stulz, Rene M, 1993. "Contracting Costs, Inflation, and Relative Price Variability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 585-601, August.
- Michael T. Owyang, 2001. "Persistence, excess volatility, and volatility clusters in inflation," Review, Federal Reserve Bank of St. Louis, vol. 83(Nov.), pages 41-52.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Nobay, A. R. & Peel, D. A., 2000. "Optimal monetary policy with a nonlinear Phillips curve," Economics Letters, Elsevier, vol. 67(2), pages 159-164, May.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Gordon de Brouwer, 1998. "Estimating Output Gaps," RBA Research Discussion Papers rdp9809, Reserve Bank of Australia.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Biru Paksha Paul, 2013. "Inflation--growth nexus: some bivariate EGARCH evidence for Bangladesh," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(1), pages 66-76, March.
- Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2018.
"Inflation targeting or exchange rate targeting: Which framework supports the goal of price stability in emerging market economies?,"
PLOS ONE, Public Library of Science, vol. 13(8), pages 1-21, August.
- Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2015. "Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?," Working Papers 2015025, The University of Sheffield, Department of Economics.
- Wu, Ji & Yao, Yao & Chen, Minghua & Jeon, Bang Nam, 2020.
"Economic uncertainty and bank risk: Evidence from emerging economies,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
- Jeon, Bang & Wu, Ji & Yao, Yao & Chen, Minghua, 2019. "Economic uncertainty and bank risk: Evidence from emerging economies," School of Economics Working Paper Series 2019-8, LeBow College of Business, Drexel University.
- Remes, Piia, 2013. "Putting a Price on Carbon – Econometric Essays on the European Union Emissions Trading Scheme and its Impacts," Research Reports 62, VATT Institute for Economic Research.
- Hayo, Bernd & Kutan, Ali M., 2002.
"The impact of news, oil prices, and international spillovers on Russian financial markets,"
ZEI Working Papers
B 20-2002, University of Bonn, ZEI - Center for European Integration Studies.
- Bernd Hayo & Ali Kutan, 2002. "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance 0209001, University Library of Munich, Germany.
- Levent KORAP, 2009.
"On the links between inflation, output growth and uncertainty: System-GARCH evidence from the Turkish economy,"
Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(285), pages 89-110.
- Korap, Levent, 2009. "On the links between inflation, output growth and uncertainty: system-GARCH evidence from the Turkish economy," MPRA Paper 19054, University Library of Munich, Germany.
- Haigh, Michael S. & Bryant, Henry L., 2000. "Price And Price Risk Dynamics In Barge And Ocean Freight Markets And The Effects On Commodity Trading," 2000 Conference, April 17-18 2000, Chicago, Illinois 18934, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Schindler, Felix, 2009. "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers 09-048, ZEW - Leibniz Centre for European Economic Research.
- Bernd Hayo & Ali M. Kutan, 2005.
"The impact of news, oil prices, and global market developments on Russian financial markets,"
The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 373-393, April.
- Bernd Hayo & Ali M. Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," William Davidson Institute Working Papers Series 2004-656, William Davidson Institute at the University of Michigan.
- Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance 0403002, University Library of Munich, Germany.
- Johannes W. Fedderke, 2021.
"The South African–United States sovereign bond spread and its association with macroeconomic fundamentals,"
South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 499-525, December.
- Johannes W. Fedderke, 2020. "The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals," Working Papers 830, Economic Research Southern Africa.
- Elaheh Asadi Mehmandosti & Fatemeh Bazazan & Mir Hossein Mousavi, 2016. "Uncertainty of Oil Proved Reserves and Economic Growth in Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 374-380.
- Robert F. Engle & Joshua Rosenberg, 1966.
"Testing the Volatility Term Structure Using Option Hedging Criteria,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-24, New York University, Leonard N. Stern School of Business-.
- Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-.
- Kerry Patterson & Michael A. Thornton, 2013. "A review of econometric concepts and methods for empirical macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 2, pages 4-42, Edward Elgar Publishing.
- Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
- Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014.
"Time Series Models for Business and Economic Forecasting,"
Cambridge Books,
Cambridge University Press, number 9780521520911, October.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, October.
- Olan Henry, 1999.
"The volatility of US term structure term premia 1952 - 1991,"
Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 263-271.
- Henry, O.T., 1998. "The Volatility of U.S. Term Structure Term Premia 1952-1991," Department of Economics - Working Papers Series 620, The University of Melbourne.
- Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015.
"Nonlinear And Complex Dynamics In Economics,"
Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
- William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, University Library of Munich, Germany.
- Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2012. "Nonlinear and Complex Dynamics in Economics," MPRA Paper 41245, University Library of Munich, Germany.
- William Barnett & Apostolos Serletis & Demitre Serletis, 2012. "Nonlinear and Complex Dynamics in Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201238, University of Kansas, Department of Economics, revised Sep 2012.
- William Barnett & Alfredo Medio & Apostolos Serletis, 2012. "Nonlinear And Complex Dynamics In Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201223, University of Kansas, Department of Economics, revised Sep 2012.
- Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
- repec:fgv:epgrbe:v:66:n:3:a:3 is not listed on IDEAS
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
Cambridge University Press, number 9780521779654, September.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
More about this item
JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:3:y:2003:i:3_7. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: M. Carmen Guisan (email available below). General contact details of provider: http://www.usc.es/economet/eaa.htm .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.