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

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  • 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 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.

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  • Aristidou, Chrystalleni, 2018. "The meta-Phillips Curve: Modelling U.S. inflation in the presence of regime change," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 367-379.
    • Handle: RePEc:eee:jmacro:v:57:y:2018:i:c:p:367-379
    DOI: 10.1016/j.jmacro.2018.07.002
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    More about this item

    Keywords

    Inflation; Hybrid new Keynesian Phillips Curve; Model averaging; Structural breaks;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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