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

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Aristidou, Chrystalleni (2018) The meta-Phillips Curve: modelling U.S. inflation in the presence of regime change. Journal of Macroeconomics, 57 . pp. 367-379. ISSN 0164-0704

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Official URL: https://www.sciencedirect.com/science/article/pii/S0164070418300041?via%3Dihub

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 measures of real marginal cost, 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, and that the labour share is superior to the output gap as a measure of cyclical pressures on prices.

Item Type:	Article
RIS ID:	https://nottingham-repository.worktribe.com/output/945423
Keywords:	Inflation; Hybrid New Keynesian Phillips Curve; Model averaging; Structural breaks
Schools/Departments:	University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number:	https://doi.org/10.1016/j.jmacro.2018.07.002
Depositing User:	Aristidou, Chrystalleni
Date Deposited:	11 Jul 2018 08:02
Last Modified:	04 May 2020 19:45
URI:	https://eprints.nottingham.ac.uk/id/eprint/52837

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