Arbeitspapier
NAIRU estimates for Germany: New evidence on the inflation-unemployment trade-off
The paper estimates the NAIRU from a Phillips curve relationship in the state-space framework. To identify the inflation-unemployment trade-off we account for a time-varying inflation trend to control for the part of inflation that is not affected by the cyclical component of unemployment. In addition we use shifts in the relative volatility of shocks to unemployment and inflation to address the simultaneity problem in Phillips curve estimations. Applying the method of Rigobon and Sack (2003) allows for a data driven identification of the contemporaneous coefficients on the unemployment gap in the Phillips curve and yields more precise estimates of the structural coefficients in the Phillips curve. This tightens the economic relation on the basis of which the NAIRU is derived.
- ISBN
-
978-3-86558-643-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2010,19
- Klassifikation
-
Wirtschaft
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
- Thema
-
non-accelerating inflation rate of unemployment
state-space estimation
identification through heteroskedasticity
trend inflation
Natürliche Arbeitslosigkeit
Phillips-Kurve
Zustandsraummodell
Heteroskedastizität
Schätzung
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kajuth, Florian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Kajuth, Florian
- Deutsche Bundesbank
Entstanden
- 2010
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