Arbeitspapier
An empirical assessment of the U.S. Phillips curve over time
We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space methods which include feasible testing and diagnostic checking procedures. A key finding is that the Phillips curve for U.S. headline inflation has remained empirically relevant over the years.
- Language
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Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2021-099/III
- Classification
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Wirtschaft
Methodological Issues: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Price Level; Inflation; Deflation
- Subject
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Phillips curve
Inflation
Inflation Expectations
State space methods
Bayesian Gibbs sampling
- Event
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Geistige Schöpfung
- (who)
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Vlekke, Marente
Koopman, Siem Jan
Mellens, Martin C.
- Event
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Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
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Amsterdam and Rotterdam
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Vlekke, Marente
- Koopman, Siem Jan
- Mellens, Martin C.
- Tinbergen Institute
Time of origin
- 2021
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