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1
Lee, Jae Joon. "Studies on the Phillips curve /." Thesis, Connect to this title online; UW restricted, 2004. http://hdl.handle.net/1773/7498.
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Barnard, Russell. "Implications of a modern phillips curve." Thesis, Boston College, 2017. http://hdl.handle.net/2345/bc-ir:107432.
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Thesis advisor: Robert MurpheyThis paper demonstrates that a linear Phillips Curve has neither theoretical nor empirical justification. I first alter the traditional linear model specification to allow for non-linearity between inflation and unemployment. I show that these non-linear models produce greater R2’s than similar linear versions. I provide theoretical justification for the non-linear models and demonstrate why the theoretical reasoning for linear models is flawed. Finally, by introducing the natural rate of unemployment as a separate independent variable, I increase the explanatory power of the model. I allow the natural rate’s marginal effect on inflation to vary with time and suggest a theoretical framework that supports this final model. I conclude that non-linearity and therefore convexity between inflation and unemployment is the correct framework under any time period for Phillips Curve analysis and application
Thesis (BA) — Boston College, 2017
Submitted to: Boston College. College of Arts and Sciences
Discipline: Departmental Honors
Discipline: Economics
3
Jiménez, Félix. "Contracts, Phillips Curve and Monetary Policy." Economía, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/117584.
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This paper shows how to obtain a short run aggregate supply curve when there are explicit orimplicit contracts. In the same way it is possible to obtain an expectation augmented Phillips curve. Then, a monetary policy is incorporated to the short run aggregate supply curve or to the Phillips curve in order to model the Central Bank reaction when the actual inflation deviates from the target inflation. Then a model with a Central Bank welfare lost function is developed in order to obtain an optimal monetary policy rule which modifies the synthetic version of the Taylor Rule. This model allows making short run comparative static analyses.Este trabajo muestra que la existencia de contratos implícitos o explícitos, da lugar a desvíos de la producción respecto de su nivel de pleno empleo y, por lo tanto, a la configuración de una curva de oferta agregada de corto plazo con pendiente positiva. Estos desvíos pueden asimismo expresarse con una curva de Phillips. Definida la curva de Phillips, se integra una regla de política monetaria que permite modelar los efectos de la reacción del Banco Central ante los desvíos de la inflación respecto de la inflación meta. Se desarrolla un modelo con una función de pérdida del Banco Central para luego obtener una regla monetaria óptima que modifica la versión sintética de la Regla de Taylor. Este modelo permite realizar análisis de estática comparativa a corto plazo.
4
Michálková, Simona. "Forecasting Ability of the Phillips Curve." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-203770.
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The aim of this paper is to investigate various versions of the Phillips curve and their inflation forecasting ability for Euro Area. We consider autoregressive distributed lag models and use two types of trend estimation -- successive (the trend is estimated before the remaining parameters are) and join, using exponential smoothing. The versions of the Phillips curve are evaluated by rolling and recursive window methods, various selection criteria for lag variables and different combination of the inflation indicators. To evaluate the forecasted values, we calculate the RMSE in three 7-year periods: 1993-1999 (run up Euro area), 2000-2006 (stable inflation period) and 2007-2013 (financial crisis). According to all our modifications, we find some models which achieve satisfying results in terms of the RMSE, albeit not for all forecasting periods. We notice that some models are satisfactory only in the stable period however not in the periods with low inflation and vice versa.
5
Abreu, Daniel Sebastião. "Threshold effects in the wage Phillips curve." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16573.
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Mestrado em Econometria Aplicada e PrevisãoNeste trabalho, avaliamos a capacidade da curva de Phillips salarial Neo-Keynesiana (CPSNK) proposta por Galí (2011) para descrever a inflação dos salários nos EUA durante o período 1965-2018. De forma a estudar esta relação, empregamos um modelo de regressão de limiar que nos permite examinar a existência de não-linearidades. Os nossos resultados sugerem que a taxa de inflação salarial é bem descrita por um modelo de limiar com 3 regimes em que a variável de limiar é a taxa de desemprego. As estimativas para os parâmetros de limiar dividem a CPSNK em regimes consistentes com períodos de recessão profunda, de flutuações moderadas do ciclo económico e de crescimento prolongado. Encontramos evidência empírica consistente com a relação negativa entre a inflação salarial e a taxa de desemprego prevista pela CPSNK quando a taxa de desemprego está entre os limites de 5.69% e 7.63%. Quando a taxa de desemprego está fora deste intervalo, esta relação parece desaparecer. Para avaliar a robustez das nossas estimativas, incorporamos a possível endogeneidade dos regressores e da variável de limiar ao estimar o modelo de regressão limiar estrutural proposto por Kourtellos et al. (2016). Neste contexto, concluímos que os nossos resultados não são muito diferentes quando permitimos que os regressores sejam endógenos. Por outro lado, as estimativas dos coeficientes de limiar obtidas quando a variável de limiar é considerada como endógena implicam uma redução significativa do número de observações no segundo regime.
The main purpose of this work is to evaluate the ability of the New Keynesian wage Phillips curve (NKWPC), proposed by Galí (2011), to describe U.S. wage inflation dynamics over the 1965-2018 period. To study this relationship, a threshold regression model that allows assessing the existence of regime-switching nonlinearity is employed. Our results suggest that wage inflation dynamics are well described by a 3-regime threshold model where the best threshold variable is the current unemployment rate. The estimated thresholds split the NKWPC into regimes consistent with periods of deep recessions, moderate business cycle fluctuations and prolonged expansions. We find evidence that the negative relationship between wage inflation and unemployment implied by the NKWPC holds when unemployment is between the thresholds 5.69% and 7.63%; when unemployment is outside this band the relationship seems to break down. To assess the robustness of our estimates, we account for possible endogeneity of the regressors and the threshold variable by using the structural threshold model proposed by Kourtellos et al. (2016). In this setting, we conclude that our baseline results are not very sensitive to endogeneity affecting the regressors. In contrast, the threshold estimates obtained when the threshold variable is considered as endogenous yield a substantial reduction in the number of observations in the second regime.
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6
Staines, David. "Stochastic equilibrium, the Phillips curve and Keynesian economics." Thesis, Cardiff University, 2019. http://orca.cf.ac.uk/118938/.
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I uncover serious problems with the benchmark New Keynesian Phillips curve linearized around its non-stochastic zero inflation steady state when the underlying model features a subset of prices that stay rigid over multiple periods, as in the popular Calvo model. I am able to demonstrate that the dynamics of approximations taken at the non-stochastic steady state are non-hyperbolic. This means that approximations taken at this point do not represent a valid description of the dynamics of the underlying model at any other point in the state space. This allows me to overturn results such as the 'Divine Coincidence' that equates welfare under price rigidity with the level prevailing under price dispersion. I introduce a dynamic stochastic concept of equilibrium that can be applied to New Keynesian models and offers a natural point to take approximations to analyze business cycle dynamics. It is methodologically interesting as it is a notion of general equilibrium that does not correspond to partial equilibrium. Keywords: Macroeconomics, Mathematical Economics, Random Dynamical Systems, General Equilibrium, Monetary Policy JEL Classification: C6, D5, E1, E3, E5 2010 Mathematics Subject Classification: 37Axx, 37Bxx, 37Cxx, 37Dxx, 37Gxx, 37Hxx.
7
Bukhari, Syed Kalim Hyder. "Heterogeneity, marginal cost and New Keynesian Phillips Curve." Thesis, University of Leicester, 2015. http://hdl.handle.net/2381/35930.
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The purpose of the thesis is to introduce novel measure of real marginal cost in the New Keynesian Phillips Curve (NKPC) and compares its performance with conventional mea- sures such as output gap and labour share of income. Real marginal cost is derived from a flexible function whereas labour share is based on restrictive assumption of Cobb-Douglas technology. Dynamic correlations and results of NKPC indicate that real marginal cost is better than ad hoc measure of output gap and labour share. Given the heterogeneity in price setting behaviour across sectors, cost functions and NKPC are estimated for the agriculture, manufacturing and other sectors of Pakistan's economy. Real marginal cost is derived from static and dynamic cost functions. In the presence of adjustment costs, dynamic cost functions that are consistent and integrated with their static systems are required. Such dynamic translog cost functions are estimated after testing the theoretical properties and existence of long term relationships in the static functions. Cost attributes, marginal cost, total factor productivity, technological progress, demand and substitution elasticities are derived from static and dynamic functions. Three specifications of forward looking and hybrid form of the Phillips curves are estimated with real marginal cost, output gap and labour share. Results indicate that hybrid specifications perform better than the forward looking models in terms of goodness of fit and statistical significance. Further, comparison of Phillips curves estimated with real marginal cost, output gap and labour share indicate that real marginal cost performs better in explaining inflation dynamics in Pakistan. The results indicate that forward looking behaviour dominates and high level of nominal rigidities persists in Pakistan. Finally, hybrid form of the NKPC is estimated for a panel of sixteen Asian economies. With the consideration of heterogeneity and aggregation bias, the mean group, random coefficient and weighted average coefficients are derived from individual estimates. The unobserved time variant common factors cause cross correlation in the errors that may lead towards inconsistent estimates. Therefore, cross section averages of the explanatory and the dependent variables are augmented in hybrid specification to capture the effect of latent variables. Findings suggest that the discount factor is almost 0.94, the nominal rigidities are 33% and the weights of expected and past inflation are 66% and 33% respectively. Nominal rigidities of the Asian economies are lower than the estimates for US and Euro areas. The weights of expected and past inflation of the Asian economies are consistent with the US but lower than the estimates from the Euro areas.
8
Boldrin, Nico. ""Three Essays on the New Keynesian Phillips Curve"." Doctoral thesis, Università degli studi di Padova, 2008. http://hdl.handle.net/11577/3425578.
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This PhD thesis is composed by three essays which tackle recent and controversial aspects of the New Keynesian Phillips curve subject. The first chapter presents a critical survey about the New Keynesian Phillips curve focusing on the so-called “divine coincidence” problem. The second chapter proposes an extension of the Blanchard and Galì New Keynesian Phillips curve and shows that this new formulation helps to explain inflation dynamics. The third chapter examines an extended version of the small-scale New Keynesian model a la Woodford (2003) to assess the role of oil price shocks in influencing inflation and unemployment volatility.
9
Difs, Erik. "How does a financial crash affect the Phillips curve?" Thesis, Södertörns högskola, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-37770.
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This study investigates if there is a significant Phillips curve correlation and if the tradeoff changed during the financial crisis of 2008 in countries such as Sweden, Austria and Belgium. It tries to find the evidence for a change in the tradeoff using a time series regression model. The study will first go through the different modifications that has been done to the Phillips curve and how the theory has evolved since it was originally theorized. After that the data that was used in the regression is examined and evaluated. The regression on the Phillips curve that follows is done in two ways, first on a Phillips curve with backward-looking inflation expectations and then a regression with anchored inflation expectations. The results are ambiguous since the regression only found significance for a tradeoff in the Phillips curve with the anchored inflation expectations and not for the backward-looking inflation expectations model which is the more conventional model to use. If we follow the model with the anchored expectations we can see that the tradeoff does exist and that it was strengthened by the financial crash of 2008 in Belgium and Austria. In Sweden however, the only results the regression provided is that a significant Phillips curve correlation is present in the economy.
10
NETO, CARLOS DE CARVALHO MACEDO. "PHILLIPS CURVE IN US: THE CASE OF MISSING INFLATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33563@1.
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O presente trabalho tem como principal objetivo contribuir para a desmistificação da dinâmica atual do deflator do consumo americano.Com esta finalidade, é avaliada a evolução temporal da Curva de Phillips americana, utilizando como referência a especificação apresentada por Yellen (2015). Os resultados encontrados são analisados e comparados com novas estimativas para diferentes variáveis de núcleo de inflação, expectativa de inflação e ociosidade do mercado de trabalho. A hipótese de não linearidade da Curva de Phillips também é testada. Por fim, um modelo alternativo ao de referência é sugerido e o deflator do consumo é desagregado para uma melhor compreensão. Concluímos que a Curva de Phillips continua válida e que não houve achatamento ao longo dos anos 2000. Ademais, não foi constatado suporte estatístico para a hipótese de não linearidade. Com isso, os principais responsáveis identificados pelo caso da inflação perdida são categorias que sofreram choques estruturais relacionados aos seus respectivos setores. E se esta avaliação estiver correta e os choques setoriais forem persistentes, o banco central americano possivelmente precisará implementar uma posição mais acomodatícia do que seria apropriado para atingir sua meta de longo prazo.The purpose of this dissertation is to contribute to the demystification of the current dynamics of the inflation in United States.The Phillips Curve in the United States is evaluated since 1990s, using the model presented by Yellen (2015) as a reference. The results are analyzed and compared with new estimates for different core inflation variables, inflation expectations, and labor market slack. The nonlinearity hypothesis of the Phillips curve is also tested. Finally, an alternative to the model is suggested and the consumption price deflator is disaggregated.The results indicate that the Phillips Curve is still valid and that there was no flattening over the 2000s. In addition, no evidence of statistical significance was found for the nonlinearity hypothesis. Therefore, the main cause of the missed inflation are categories that suffered structural shocks related to their respective sectors. If this assessment is accurate and these sector-specific shocks continue, achieving the Federal Reserve s 2 percent inflation goal over the medium term may require a more accommodative stance of monetary policy than might otherwise be appropriate.
11
Stimel, Derek Scott. "Examining the role of cyclical factors in the Phillips curve /." For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2005. http://uclibs.org/PID/11984.
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Nabais, João Miguel Casanova. "Near-rational expectations and the Phillips Curve : an empirical application." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6324.
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Mestrado em Economia Monetária e FinanceiraThe purpose of this work is to present and empirically test the Akerlof, Dickens and Perry (2000) model for two euro area countries, Portugal and Germany. The main purpose is to derive estimates for the Near Rational Phillips Curve and verify if the implications of ADP do apply to the current preference of the European Central Bank for an inflation target below the annual rate of 2%. Although no quantitative assessment is made over the adequacy of this target, we give some insight on whether this strategy is optimal for overall welfare. Using annual data, we find evidence supporting the ADP conjecture that inflation is crucial for the degree of incorporation of price expectations in wage and price setting, although there is a weak link about its effect on unemployment, a finding which requires further study of the robustness of the Curve.
O Objectivo deste trabalho consiste na na apresentação e avaliação empírica do modelo proposto por Akerlof, Dickens e Perry (2000) para dois países da Área do Euro, Portugal e Alemanha. Procurar-se-á deste modo obter estimativas para uma Curva de Phillips Quasi-racional e que verifiquem se os postulados ADP também são válidos em relação à preferência do Banco Central Europeu por um objectivo de inflação inferior a 2%. Conquanto não seja realizada uma análise quantitativa dos efeitos, procuram-se realizar breves reflexões sobre se a estratégia é óptima para o Bem Estar. Recorrendo ao uso de uma base de dados anuais é possível encontrar evidência de que o nível da inflação é importante na determinação do grau de incorporação das expectativas na definição de salários e preços. No entanto, verifica-se uma fraca ligação entre esta e o desemprego, o que exige um estudo mais aprofundado sobre a sua robustez.
13
Chicheke, Aaron. "Monetary policy, inflation, unemployment and the Phillips curve in South Africa." Thesis, University of Fort Hare, 2009. http://hdl.handle.net/10353/d1001202.
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Inflation and unemployment are perhaps the two most important challenges that face the South African economy of today. Firstly, the study examines the relationship between monetary policy and the two economic fundamentals (inflation and unemployment), using the VEC modeling technique. The model regresses the monetary policy variable against inflation and unemployment growth over the period 1980-2008. The results suggest that (1) there is a long run relationship between inflation and unemployment (2) monetary policy reacts more to variations in inflation compared to variations in unemployment. Secondly, the relationship between inflation and unemployment as explained by the Phillips curve is investigated. The results show that there is a positive relationship between inflation and unemployment.
14
Rupprecht, Sarah. "Nonlinearities in the Phillips Curve? empirical evidence for some European countries /." [S.l. : s.n.], 2005. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB11811251.
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Maka, Alexis. "On testing the Phillips curves, the IS Curves, and the interaction between fiscal and monetary policies." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11450.
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Esta tese é composta por três ensaios sobre testes empíricos de curvas de Phillips, curvas IS e a interação entre as políticas fiscal e monetária. O primeiro ensaio ('Curvas de Phillips: um Teste Abrangente') testa curvas de Phillips usando uma especificação autoregressiva de defasagem distribuída (ADL) que abrange a curva de Phillips Aceleracionista (APC), a curva de Phillips Novo Keynesiana (NKPC), a curva de Phillips Híbrida (HPC) e a curva de Phillips de Informação Rígida (SIPC). Utilizamos dados dos Estados Unidos (1985Q1--2007Q4) e do Brasil (1996Q1--2012Q2), usando o hiato do produto e alternativamente o custo marginal real como medida de pressão inflacionária. A evidência empírica rejeita as restrições decorrentes da NKPC, da HPC e da SIPC, mas não rejeita aquelas da APC. O segundo ensaio ('Curvas IS: um Teste Abrangente') testa curvas IS usando uma especificação ADL que abrange a curva IS Keynesiana tradicional (KISC), a curva IS Novo Keynesiana (NKISC) e a curva IS Híbrida (HISC). Utilizamos dados dos Estados Unidos (1985Q1--2007Q4) e do Brasil (1996Q1--2012Q2). A evidência empírica rejeita as restrições decorrentes da NKISC e da HISC, mas não rejeita aquelas da KISC. O terceiro ensaio ('Os Efeitos da Política Fiscal e suas Interações com a Política Monetária') analisa os efeitos de choques na política fiscal sobre a dinâmica da economia e a interação entre as políticas fiscal e monetária usando modelos SVARs. Testamos a Teoria Fiscal do Nível de Preços para o Brasil analisando a resposta do passivo do setor público a choques no superávit primário. Para a identificação híbrida, encontramos que não é possível distinguir empiricamente entre os regimes Ricardiano (Dominância Monetária) e não-Ricardiano (Dominância Fiscal). Entretanto, utilizando a identificação de restrições de sinais, existe evidência que o governo seguiu um regime Ricardiano (Dominância Monetária) de janeiro de 2000 a junho de 2008.
This dissertation consists of three essays on empirical testing of Phillips curves, IS curves, and the interaction between fiscal and monetary policies. The first essay ('Phillips Curves: An Encompassing Test') tests Phillips curves using an autoregressive distributed lag (ADL) specification that encompasses the accelerationist Phillips curve (APC), the New Keynesian Phillips curve (NKPC), the Hybrid Phillips curve (HPC), and the Sticky-Information Phillips curve (SIPC). We use data from the United States (1985Q1--2007Q4) and from Brazil (1996Q1--2012Q2), using the output gap and alternatively the real marginal cost as measure of inflationary pressure. The empirical evidence rejects the restrictions implied by the NKPC, the HPC, and SIPC, but does not reject those implied by the APC. The second essay ('IS Curves: An Encompassing Test') tests IS curves using an ADL specification that encompasses the traditional Keynesian IS curve (KISC), the New Keynesian IS curve (NKISC), and the Hybrid IS curve (HISC). We use data from the United States (1985Q1--2007Q4) and from Brazil (1996Q1--2012Q2). The evidence rejects the restrictions implied by the NKISC and the HISC, but does not reject those of the KISC. The third essay ('The Effects of Fiscal Policy and its Interactions with Monetary Policy in Brazil') analyzes the effects of fiscal policy shocks on the dynamics of the economy and the interaction between fiscal and monetary policy using structural vector autoregressions (SVARs). We test the Fiscal Theory of the Price Level for Brazil, analyzing the response of public sector liabilities to primary surplus shocks. For the hybrid identification we find that it is not possible to distinguish empirically between Ricardian (Monetary Dominance) and non-Ricardian (Fiscal Dominance) regimes. However, using sign restrictions there is some evidence that the government followed a Ricardian (Monetary Dominance) regime from January 2000 to June 2008.
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Custódio, Sandra Cristina Casquinha Gancho da Silva. "Curva de Phillips para Portugal : uma abordagem de cointegração." Master's thesis, Instituto Superior de Economia e Gestão, 1998. http://hdl.handle.net/10400.5/18802.
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Mestrado em Matemática Aplicada à Economia e à GestãoA presente dissertação surge no âmbito da disciplina de Econometria I do curso de Mestrado em Matemática Aplicada à Economia e à Gestão, como proposta de um estudo de aplicação, e se possível desenvolvimento, de algumas técnicas econométricas leccionadas ao longo do curso. A este objectivo de carácter mais pedagógico juntou-se um genuíno interesse científico pelo tema: a cointegração é uma matéria "de ponta" no âmbito da econometria, tendo em si mesma um rigoroso suporte teórico em termos estatísticos, sendo naturalmente aplicável a diversas relações económicas. Neste contexto, é desenvolvido o tema das raízes unitárias e cointegração, propondo modelizações alternativas que passam pela consideração de modelos com mecanismo correctores do erro e análise em termos univariados e multivariados de algumas séries respeitantes à economia Portuguesa. Após a introdução, em termos da vertente económica, do tema referente ao eventual "trade-off' entre o produto-inflação em Portugal, inicia-se o estudo empírico das potenciais relações de cointegração. Pretendia-se inicialmente especificar uma Curva de Phillips para a economia Portuguesa, que fora já proposta por Carlos Robalo Marques, "Cointegration and the Output-Inflation trade-off': empirical evidence for Portugal" (1994, Banco de Portugal), como uma oportunidade de alargar conhecimentos e de aplicar técnicas econométricas com um desenvolvimento recente, no âmbito da modelização num contexto de integrabilidade. Em simultâneo, a perspectiva da teoria económica é de grande interesse, explicando a adesão ao tema em questão. Desta forma, era nosso objectivo, para além de dar continuidade temporal à análise de Marques (1994), fazer uma extensão da mesma pela introdução de novas variáveis, concretamente o grau de abertura da economia ao exterior, num contexto de cointegração.
This thesis is a proposal of a practical use of the econometric techniques applied to the economic science. It also surveys the cointegration theory in long-term equilibrium relationships and short-term model specifications. Specifically the study of unit roots and cointegration is developed by proposing altemative models, such as error-correction models, and by analysing series related to the Portuguese economy while looking at their univariate and multivariate properties. The first part of this paper is an introduction to the present economy in Portugal and the trade-off between product and inflation. Following is the empirical study of potential relationships of cointegration in the economy. As an opportunity to revise integrability, modelling methods, and to apply recently developed econometric techniques, a Phillips Curve pertinent to the Portuguese economy is specified, similar to the one proposed by Carlos Robalo Marques in "Cointegration and the Output-Inflation trade-off: empirical evidence for Portugal" (1994, Bank of Portugal). It is our goal then, to update and expand the Marques's analysis, always in the context of cointegration, by introducing new variables such as the degree of openness of the Portuguese economy. However, as will be shown by the parsimony principal, the inclusion of this new regressor does not change significantly the earlier results making it unnecessary and even counter-productive. As a result, the fluctuation of the real GDP will then be modelled with simple methods and using already existent variables. Due to the difficulties in obtaining sufficiently long and credible economic series, mainly those related to oil prices, the original goal of the thesis was affected. The data used carne ffom annually updated publications by the Bank of Portugal, National Institute of Statistics and the OECD. However, discrepancies in some of the series were found and these had to be re-evaluated. Due to eventual structural changes in the Portuguese economy, an analysis was done to the tests used; namely the ECM test which led to interesting results. The interpretation of this model should however be done with great care namely where the existence of cointegration between variables is concemed, since it may not be the most adequate due to its eventual lack of global stability as seen in the history of Portuguese economy,
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17
Eruygur, Aysegul. "Analysis Of Inflation Dynamics In Turkey: A New Keynesian Phillips Curve Approach." Phd thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613065/index.pdf.
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The main aim of this thesis is to explain the inflation dynamics in Turkey
within a theoretically consistent empirical framework. The New Keynesian
Phillips Curve (NKPC) is chosen as the basis model for our analysis because,
by describing the inflation process within an intertemporal optimizing dynamic
general equilibrium model, it provides a rigorous analytical groundwork for
credible welfare and policy analysis. We have contributed to the literature by
developing a NKPC formulation that is novel in the literature: A constant
elasticity of substitution (CES) type of production function incorporating
imported and domestically produced intermediate goods was combined with
incomplete exchange rate pass through to import prices. The short-run inflation
dynamics were analyzed within the context of this new specification by
estimating the model&rsquos highly nonlinear structural parameters that capture the price-setting behavior in Turkey for period 1988:1 - 2009:4. Our findings suggest that this NKPC formulation can explain the 1994 and 2000-01 crises as well as the current environment of low inflation achieved with the adoption of the implicit and fully fledged inflation targeting regimes quite well. As a policy application we explored the effects of the inflation targeting framework adopted after the 2000-01 crises on the parameters characterizing the inflation process in Turkey. The subsample econometric results suggested that the inflation targeting framework applied was quite successful in decreasing inflation inertia in Turkey. Thus, should the success of the inflation targeting regime continue, this should be taken as an opportunity to reduce inflation substantially with very low output losses.
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Nilsson, Anders. "Divergent Inflatin in Euroland : A Phillips Curve approach to the EMU-12." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-15411.
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This thesis investigates the cause and implications of the divergent inflationrates of the EMU-12 countries between the years 1998 and 2010. The EMUand the euro are put into a context with the classic theory of Optimum CurrencyArea, where the economic benefits and cost of joining a monetary unionis reviewed. The inflation divergence in the euro area is then described and investigated.Empirically, a Phillips Curve model is constructed in order to determineif the EMU-12 nations’ inflation rates are equally sensitive to changesin unemployment as the EMU average. This is done using a Panel Least Squareestimation for the EMU-12. Each nation is then tested separately against theEMU average. The result provides evidence that the EMU-12 nations’ inflationrates are not equally sensitive to changes in unemployment as the EMU average.The result is negative for the EMU-12 in an Optimum Currency Area context.Given the results, the EMU-12 cannot be considered to be an OptimumCurrency Area, at least not yet.
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Milučká, Daniela. "INFLATION DYNAMICS IN THE CZECH REPUBLIC: ESTIMATING THE NEW KEYNESIAN PHILLIPS CURVE." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199272.
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Recent breakthrough studies by Gali and Gertler (1999), Sbordone (2002) and Roberts (2001) argue that the New Keynesian Phillips curve (based on Calvo pricing model) is empirically valid concept and they conclude that the real marginal costs are preferred driving force to output gap in inflation dynamics for open economies. Neiss and Nelson (2002) and Gali, Gertler and Salido (2001), in turn, contradict that to date, there has been only little empirical evidence to support this statement. Neiss and Nelson (2002) add that "once output gap is defined consistently with economic theory, the gap-based New Keynesian Phillips curve has a fit with data which is at least as good as the real marginal costs-based one". For this purpose, my study investigates relationship between output gap and inflation described in the hybrid New Keynesian Phillips curve. Study estimates key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both forward- and backward-looking inflation components, in the Czech Republic for periods 2000Q1 - 2012Q4 using Kalman filtration. My findings suggest that (i) output gap has a significant impact on Czech inflation dynamics (ii) share of forward-looking agents predominates to backward-looking agents in the Czech Republic and (iii) Czech inflation seems to be significantly driven by change in import prices.
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McGough, Bruce. "Learning, oil price shocks, and monetary policy /." view abstract or download file of text, 2000. http://wwwlib.umi.com/cr/uoregon/fullcit?p9987239.
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Thesis (Ph. D.)--University of Oregon, 2000.Typescript. Includes vita and abstract. Includes bibliographical references (leaves 143-145). Also available for download via the World Wide Web; free to University of Oregon users.
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Nüß, Patrick. "An empirical analysis of the Phillips Curve : A time series exploration of Germany." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-27177.
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The purpose of the paper is to explore the relationship between inflation and unemployment in Germany during the period from 1970 to 2012. Through the methods of cointegration, dynamic OLS and an error correction model, this paper highlights that there is no short run negative relationship between inflation and unemployment, and consequently the short run Phillips curve is an unsuitable instrument for making political decisions. Furthermore, there is a long run relationship between inflation and unemployment, which can be explained with asymmetric nominal wage rigidities and resulting frictional growth. Resulting policy implications reflect the advantage of a permanent higher inflation target for Germany. Since the beginning of the European Monetary Union, Germany has been on average 0.5% under the permanent inflation target of the central bank. Therefore, by using fiscal policy, Germany can reduce permanent unemployment without missing the inflation target of the central bank. Finally, despite of variety of intensive changes in the macroeconomic situation and particularly through the establishment of the European Monetary Union, the CUSUM and CUSUMsq test reveal that the estimate holds validity over the entire observation period and has not changed since the beginning of the European Monetary Union.
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Horton, Wendy Elizabeth. "A vector autoregressive model of a regional Phillips curve in the United States." Thesis, Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/30515.
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Czarnota, Alexander. "Estimating a hybrid New Keynesian Phillips curve for Sweden : An instrumental variables approach." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-415569.
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Previous estimates suggest that there has been a flattening of the Swedish Phillips curve after the global financial crisis of 2008. This apparent flattening is a global phenomenon that has led many economists to search for an explanation. Recent studies suggest that part of the apparent flattening can be explained by failure to overcome the endogeneity problem of the Phillips curve that arise from measurement error and cost-push shocks. In this study I investigate this previously unexplored potential explanation for the Swedish data by estimating a hybrid New Keynesian Phillips curve for Sweden using the instrumental variables approach of Barnichon and Mesters (2020). The approach uses a sequence of lagged monetary policy shocks as instruments and relies on weak instrument robust test statistic for inference. The point estimates vary substantially with changes in the number of lagged instruments and the weak instrument robust confidence intervals are not significant for any number of lags. This indicates that the weak instrument problem is too severe for the Swedish data to provide a practical solution to the puzzle of the Swedish Phillips curve. The conclusion from this study is therefore that is not possible to estimate an unbiased hybrid New Keynesian Phillips curve for Sweden using aggregate time series data.
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Silva, Bruno dos Santos. "Curva de Phillips: uma construção para o Brasil (2002 – 2013)." Universidade Federal de Sergipe, 2015. https://ri.ufs.br/handle/riufs/4560.
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The relationship between inflation and unemployment, called the Phillips curve was used by several economies since 1960 as a key theoretical tool for the development of economic policies. The pioneering study by AW Phillips developed an empirical analysis with data on unemployment and change in wages in the UK, found a tradeoff between the variables, which enabled the economic policy makers choose between a low unemployment with high inflation and high unemployment with low inflation. However, in the 1970s, the theory of the Phillips Curve was put in check because of stagflation, the presence of high rates of inflation and unemployment. The changes in the economic scenario caused changes in the generation of socioeconomic data. Thus, the Phillips theory underwent theoretical changes over the years in order to further pursue its explanatory power. Given the above, the question arises whether the applicability of the Phillips curve is still appropriate for today's economies. This study estimated a Phillips curve for the Brazilian economy in the 2002-2013 period, using an econometric approach. The analysis consisted in the use of time series, by means of co-integration technique for data on inflation, unemployment in that period. The results, considering the variables applied, show that it was not possible to verify an inverse relationship between inflation and unemployment in Brazil during the study period. It is intended in future work to add more variables to the model in order to get Phillips curve estimates for Brazil more significant.A relação entre inflação e desemprego, denominada curva de Phillips foi utilizada por diversas economias a partir de 1960 como uma ferramenta teórica fundamental na elaboração de políticas econômicas. O estudo pioneiro de A. W. Phillips que elaborou uma análise empírica com dados sobre desemprego e variação dos salários no Reino Unido, constatou um trade off entre as variáveis, que possibilitou aos formuladores de políticas econômicas escolher entre um baixo desemprego com alta inflação ou alto desemprego com baixa inflação. Porém, na década de 1970, a teoria da Curva de Phillips foi colocada em cheque em decorrência da estagflação, presença de altas taxas de inflação e de desemprego. As mudanças no cenário econômico provocavam alterações na geração dos dados socioeconômicos. Deste modo, a teoria de Phillips passou por transformações teóricas com o passar dos anos a fim de continuar válido o seu poder explicativo. Diante do exposto, surge a questão se a aplicabilidade da curva de Phillips continua adequada para as economias atuais. O presente estudo estimou uma curva de Phillips para economia brasileira no período de 2002 a 2013, utilizando uma abordagem econométrica. A análise consistiu na utilização de séries temporais, por meio da técnica de co-integração para os dados sobre inflação e desemprego no período citado. Os resultados obtidos, considerando as variáveis aplicadas, demonstram que não foi possível verificar uma relação inversa entre inflação e desemprego no Brasil durante o período analisado. Pretende-se em trabalho futuro acrescentar mais variáveis ao modelo a fim de obter estimativas de curva de Phillips para o Brasil mais significativas.
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Bezerra, Itaiguara de Oliveira. "Taxa não inflacionária da capacidade utilizada: uma abordagem usando microdados brasileiros." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/13592.
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A Non-Inflationary Rate of Capacity Utilisation (NIRCU) for the Brazilian Economy has been developed based on microdata from the Manufacturing Survey and the Producer Price Index (IPA-M) series, both provided by the Getulio Vargas Foundation (FGV). Three types of NIRCU were evaluated: Survey NIRCU, Coincident NIRCU and Leading NIRCU. The first, using survey data alone aims at verifying the absence of inflationary pressure when companies declare in the Survey not to raise prices within the next three months and that their number of shifts equals the industry average. By matching the companies’ declarations with the Survey and the IPA-M, the other two NIRCUs check if the variation of the respective price indexes reflect the companies' assertion not to change their prices. The difference between the two latter approaches is that the first, the Coincident NIRCU, draws on Survey and price index data of the same period, whereas the Leading NIRCU verifies the price indexes of the quarter after the Survey. The effiency of these inflation pressure indicators was assessed by introducing the different NIRCU output gaps into the Phillips Curve framework and applying the Ordinary Least Square Method (OLS). The Leading NIRCU produced the worst results, while Survey and Coincident NIRCU performed well, especially the latter. They are comparable to most traditional output gap estimates.
Esta dissertação baseia-se na criação de uma taxa não inflacionária da capacidade utilizada (NIRCU) para economia brasileira, utilizando microdados da Sondagem da Indústria de Transformação e Índice de Preços ao Produtor Amplo – M (IPA-M), pesquisas desenvolvidas pela FGV/IBRE. Foram criadas três taxas: NIRCU Sondagem, NIRCU Coincidente e NIRCU Antecedente. A primeira utiliza apenas dados da sondagem e a ideia é verificar que não há pressão inflacionária quando as empresas informam para sondagem que não irão variar os seus preços para os próximos três meses e que o número de turnos trabalhado é igual à média do setor. Já as demais, cruzam as informações das empresas que respondem tanto a Sondagem da Indústria de Transformação quanto no IPA-M e verifica se as que informam que não irão alterar os seus preços nos próximos três meses se concretiza quando comparados às variações do índice. A diferença entre as duas últimas abordagens é que a primeira, NIRCU Coincidente, verifica no mesmo período e a outra, NIRCU Antecedente, no trimestre seguinte. A forma encontrada para verificar a eficácia dos indicadores em mensurar a existência de pressão inflacionária foi inserir os diferentes hiatos de produto das NIRCU no modelo de Curva de Phillips, usando a metodologia de Mínimos Quadrados Ordinários (MQO). De acordo com as estimativas, a NIRCU Antecedente foi a única das três que não apresentou um bom desempenho no resultado; as NIRCU Sondagem e Coincidente tiveram uma performance muita boa, principalmente a última. Ou seja, esses dois indicadores tiveram um resultado tão bom quanto as mais tradicionais medidas de hiato de produto.
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Medeiros, Gabriela Bezerra de. "Ensaios sobre política monetária e curva de Phillips no Brasil." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/109273.
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A presente tese é constituída de três ensaios que abordam duas relevantes questões que estão intrinsecamente relacionadas em macroeconomia: política monetária e inflação. No primeiro ensaio, nós procuramos averiguar não linearidades na função de reação do Banco Central do Brasil (BCB) através da estimação de regressões quantílicas inversa, sugerido por Wolters (2012) e proposto por Chernozhukov and Hansen (2005, 2006). Este método nos possibilitou detectar não linearidades na função de reação do BCB sem a necessidade de fazer suposições específicas acerca dos fatores que determinam essas não linearidades. Em específico, nós observamos que: i) a resposta da taxa de juros ao hiato da inflação corrente e esperada foi, em geral, mais forte na parte superior da distribuição condicional da taxa de juros Selic; ii) a resposta ao hiato do produto apresentou uma tendência crescente e significativa na parte inferior da distribuição condicional da taxa Selic; iii) a resposta do BCB à taxa de câmbio real foi positiva e mais elevada na cauda superior da distribuição condicional da taxa Selic. No segundo ensaio, nós investigamos a existência de não linearidades na função de reação do Banco Central do Brasil (BCB) decorrentes de incertezas desse policymaker acerca dos efeitos do hiato do produto sobre a inflação. Teoricamente, nós seguimos Tillmann (2011) para obter uma regra de política monetária ótima não linear que é robusta às incertezas acerca do trade-off produto-inflação na curva de Phillips. Além disso, nós realizamos testes de quebra estrutural para avaliar possíveis mudanças na condução da política monetária brasileira durante o regime de metas de inflação. Os resultados indicaram que: i) as incertezas acerca da inclinação na curva Phillips implicaram em não linearidades na função de reação do BCB; ii) não se pode rejeitar a hipótese de uma quebra estrutural nos parâmetros da regra monetária ocorrendo no terceiro trimestre de 2003; iii) houve um aumento na resposta da taxa Selic ao hiato do produto e uma redução da reação ao hiato da inflação corrente no regime Meirelles- Tombini; e iv) o BCB também tem reagido à taxa de câmbio durante o regime Meirelles- Tombini. No terceiro ensaio, nós procuramos analisar os determinantes da inflação no Brasil através da estimação da Curva de Phillips Novo-Keynesiana (CPNK) proposta por Blanchard e Galí (2007) e a versão padrão proposta por Galí e Gertler (1999). Além disso, realizamos testes de quebras estruturais para avaliar possíveis mudanças na dinâmica da inflação brasileira durante o período de 2002 a 2014. Os resultados indicaram que: i) os testes de quebra estrutural apontam a existência de pelo menos uma mudança estrutural nos coeficientes da CPNK; ii) o componente forward-looking da inflação é dominante, embora sua relevância tenha sido reduzida após 2004; iii) a taxa de desemprego tem afetado negativamente a inflação, embora seja observado uma redução desse impacto nos últimos anos; iv) as mudanças na taxa de câmbio apenas tiveram efeitos sobre a inflação na primeira subamostra e tem perdido relevância no período mais recente; v) o efeito do hiato do produto sobre a inflação corrente diminuiu nos anos recentes; vi) em geral, nós rejeitamos a hipótese nula de uma curva de Phillips vertical no longo prazo a um nível de significância de 5%, mas não a 1%.This thesis is composed of three essays to address two important issues that are intricately related in macroeconomics: monetary policy and inflation. In the first essay, we seek to investigate nonlinearities in the reaction function of the Central Bank of Brazil (CBB) by estimating inverse quantile regressions (IVQR), suggested by Wolters (2012) and proposed by Chernozhukov and Hansen (2005, 2006). This method enabled us to detect nonlinearities in the CBB’s reaction function without the need to make specific assumptions about the factors that determine these nonlinearities. In particular, we observed that: i) the response of the interest rate to the current and expected inflation was, in general, stronger in the upper tail of the conditional interest rate distribution; ii) the response to the output gap showed a growing and significant trend in the lower tail of the conditional Selic rate distribution; iii) the response of the CBB to the real exchange rate was positive and higher in the upper tail of the conditional Selic rate distribution. In the second essay, we investigate the existence of nonlinearities in the reaction function of the Central Bank of Brazil (CBB) arising from this policymaker’s uncertainties about the effects of the output gap on inflation. Theoretically, we follow Tillmann (2011) to obtain a nonlinear optimal monetary policy rule that is robust to uncertainty about the output-inflation trade-off of the Phillips Curve In addition, we perform structural break tests to assess possible changes in the conduct of the Brazilian monetary policy during the inflation-targeting regime. The results indicate that: i) the uncertainties about the slope in the Phillips curve implied nonlinearities in the CBB’s reaction function; ii) we cannot reject the hypothesis of a structural break in the monetary rule parameters occurring in the third quarter of 2003; iii) there was an increase in the response of the Selic rate to output gap and a weaker response to the current inflation gap in Meirelles Tombini’s administration; and iv) the CBB has also reacted to the exchange rate in Meirelles-Tombini’s administration. In the third essay, we proposed to analyze the determinants of inflation in Brazil through the estimation of the new Keynesian Phillips curve (NKPC) proposed by Blanchard and Galí (2007) and the standard version proposed by Galí and Gertler (1999). In addition, we perform structural break tests to assess possible changes in the dynamics of inflation in Brazil during the period 2002 to 2014. The results indicated that: i) structural break tests indicate the existence of at least one structural change in the coefficients of NKPC ; ii) the forward-looking component of inflation is dominant, though its importance has been reduced after 2004; iii) the unemployment rate has negatively affected inflation, although a reduction of this impact has been observed in recent years; iv) changes in the rate of exchange only had effects on inflation in the first subsample and losing relevance in the most recent period; v) the effect of the output gap on the current inflation has declined in recent years; vi) overall, we reject the null hypothesis of a vertical Phillips curve in the long term at a significance level of 5%, but not 1%.
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Tristão, Tiago Santana. "Relações não lineares na curva de Phillips : uma abordagem não-paramétrica." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2013. http://hdl.handle.net/10183/79047.
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Uma das principais preocupações da macroeconomia é a compreensão da dinâmica da inflação no curto prazo. Entender como a inflação se relaciona com a atividade econômica é decisivo para traçar estratégias de desinflação, assim como, de determinação da trajetória de política monetária. Uma questão que surge é qual a forma exata da relação inflação-produto. Ou seja, podemos caracterizar essa relação como não linear? Se sim, qual a forma dessa não linearidade? Para responder a essas perguntas, estimou-se a relação inflação-produto de forma não-paramétrica através de um local linear kernel estimator. O resultado da estimação gerou uma forma funcional a qual foi aproximada pela estimação, via GMM, de uma curva de Phillips Novo-Keynesiana Híbrida. Essa abordagem foi aplicada para o Brasil a partir de 2000. As estimações sugeriram que a dinâmica da inflação brasileira é melhor descrita quando adiciona-se um termo cúbico relativo ao hiato do produto, ou seja, a inflação brasileira mostrou-se state-dependent.One of the most important macroeconomics’ concerns is the comprehension about sort-run inflation dynamic. To understand how inflation relates to economic activity is crucial to decision-making in disinflation strategies, as well as in monetary policy paths. A question that arises is what does real form of relation inflation-output trade-off? Could one characterize it as a non-linear relation? If does, what is the shape of this non-linear relation? To answer those questions, we estimate the inflation-output relation non-parametrically using a local linear kernel estimator. The functional form achieved was approximated by a New-Keynesian Hybrid Phillips Curve, which one was estimated by GMM. This approach was applied to Brazil since 2000. We have found evidence that Brazilian inflation dynamic is better described adding a cubic term related to output gap, in other words, the Brazilian inflation is state-dependent.
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Cloutier, Mark Andrew. "Rethinking the Phillips Curve: A Study of Recent Inflation Dynamics in the G-7." Thesis, Boston College, 2012. http://hdl.handle.net/2345/2654.
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Thesis advisor: Robert MurphyA study of recent inflation dynamics in the G-7, this paper discusses a problem with the Phillips curve which arose during the Great Recession (2008-2011). We find that work with time-varying slope, expectation anchoring, and core inflation can correct for the under-predictions that develop in the Phillips Curve during the recession, improving its accuracy throughout the G-7
Thesis (BA) — Boston College, 2012
Submitted to: Boston College. College of Arts and Sciences
Discipline: Economics Honors Program
Discipline: Economics
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Do, Hoang-Phuong. "A Retrospective View of the Phillips Curve and Its Empirical Validity since the 1950s." Diss., Virginia Tech, 2021. http://hdl.handle.net/10919/103230.
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Since the 1960s, the Phillips curve has survived various significant changes (Kuhnian paradigm shifts) in macroeconomic theory and generated endless controversies. This dissertation revisits several important, representative papers throughout the curve's four historical, formative periods: Phillips' foundational paper in 1958, the wage determination literature in the 1960s, the expectations-augmented Phillips curve in the 1970s, and the latest New Keynesian iteration. The purpose is to provide a retrospective evaluation of the curve's empirical evidence. In each period, the preeminent role of the theoretical considerations over statistical learning from the data is first explored. To further appraise the trustworthiness of empirical evidence, a few key empirical models are then selected and evaluated for their statistical adequacy, which refers to the validity of the probabilistic assumptions comprising the statistical models. The evaluation results, using the historical (vintage) data in the first three periods and the modern data in the final one, show that nearly all of the models in the appraisal are misspecified - at least one probabilistic assumption is not valid. The statistically adequate models produced from the respecification with the same data suggest new understandings of the main variables' behaviors. The dissertations' findings from the representative papers cast doubt on the traditional narrative of the Phillips curve, which the representative papers play a crucial role in establishing.Doctor of Philosophy
The empirical regularity of the Phillips curve, which captures the inverse relationship between the inflation and unemployment rates, has been widely debated in academic economic research and between policymakers in the last 60 years. To shed light on the debate, this dissertation examines a selected list of influential, representative studies from the Phillips curves' empirical history through its four formative periods. The examinations of these papers are conducted as a blend between a discussion on the methodology of econometrics (the primary quantitative method in economics), the role of theory vs. statistical learning from the observed data, and evaluations of the validity of the probabilistic assumptions assumed behind the empirical models. The main contention is that any departure of probabilistic assumptions produces unreliable statistical inference, rendering the empirical analysis untrustworthy. The evaluation results show that nearly all of the models in the appraisal are untrustworthy - at least one assumption is not valid. Then, an attempt to produce improved empirical models is made to produce new understandings. Overall, the dissertation's findings cast doubt on the traditional narrative of the Phillips curve, which the representative papers play a crucial role in establishing.
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Craft, Vanessa. "Central bank credibility, endogenous beliefs and short-run Phillips curves." Diss., Virginia Polytechnic Institute and State University, 1987. http://hdl.handle.net/10919/49839.
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Goes, Carlos Roberto Chagas. "Efeitos da credibilidade do Banco Centra l no combate a inflaÃÃo." Universidade Federal do CearÃ, 2015. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=16201.
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nÃo hÃAccording to Svensson (1999) disinflationary policies of a central bank with low credibility tend to be less efficient and generate more costs for society, in terms of losses of welfare, due to necessity of an adoption of one larger interest rate for a long time than in one economy where there is a monetary authority with larger credibility. Due to importance of price level stability and costs involved in its maintenance, the present research has as objective to verify central bank credibility effects in fight against Brazilian inflation. This objective is done through the analysis of private agentsâ behavior on creating of the inflation expectations through different regimes of central bank credibility. The methodology used consists in the estimation of a hybrid Phillips curve with threshold effects whose indicator variables from regimes are credibility indexes suggested by literature. The results showed which hybrid Phillips curve specification is significant solely in regime of high credibility and which the specification where there are only adaptive expectations is the most appropriated in regime of low credibility. Moreover, there are evidences of a vertical Phillips curve in regime of high credibility.
De acordo com Svensson (1999) as polÃticas desinflacionÃrias de um Banco Central com baixa credibilidade tendem a ser menos eficientes e gerar mais custos para a sociedade, em termos de perda de bem estar, em virtude da necessidade da adoÃÃo de uma maior taxa de juros por um maior tempo, do que em uma economia que hà uma autoridade monetÃria com maior credibilidade. Dada a importÃncia da estabilidade dos nÃveis de preÃos e do custo envolvido na sua manutenÃÃo, a presente pesquisa tem como objetivo verificar os efeitos da credibilidade do Banco Central no combate da inflaÃÃo brasileira. Tal objetivo à realizado por meio da anÃlise do comportamento dos agentes privados na formaÃÃo das expectativas de inflaÃÃo mediante diferentes regimes de credibilidade do Banco Central. A metodologia usada consiste na estimaÃÃo de uma Curva de Phillips hÃbrida de efeito limiar cujas variÃveis indicadoras dos regimes sÃo Ãndices de credibilidade sugeridos pela literatura. Os resultados mostraram que a especificaÃÃo hÃbrida da Curva de Phillips à significante apenas no regime de alta credibilidade e que a especificaÃÃo com apenas expectativas adaptativas à a mais apropriada no regime de baixa credibilidade. Ademais, hà evidÃncias de uma curva de Phillips vertical no regime de alta credibilidade.
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Stephens, Neil. "Why macroeconomic orthodoxy changes so quickly : the sociology of scientific knowledge and the Phillips Curve." Thesis, Cardiff University, 2005. http://orca.cf.ac.uk/55412/.
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Macroeconomics move fast. This thesis adopts a Sociology of Scientific Knowledge (SSK) perspective to explain why. In only twenty five years three different orthodox positions on the relationship between unemployment and inflation, known as the Phillips Curve, cam to dominate the profession, only to decline subsequently. This research explores the role of politics in this rapid cycle of contest and closure. The research illustrates how empirical and theoretical work in the Phillips Curve debate were configured to conform to the expectations of the analyst. Examination of several clusters of papers within the debate make explicit the dynamics by which regressions and theories were shaped to provide the results required of them. Macroeconomics is shown to respond to the need of economic policy making circles. A nuance of the relationship between macroeconomists and policy making, rooted in the role of objectivity in lending legitimacy to Liberal Democracy, means macroeconomists lack the autonomy to define and contest the problems their discipline addresses. This holds heavy implications when economic policy decision-makers experience heightened political pressure. In these instances the faster temporality of the political sphere is imported into macroeconomics, and, in the three cases examined here, the prevailing orthodoxy subsequently fell. Drawing upon a literature survey and interviews with macroeconomists, including four Nobel Laureates, this research provides valuable insight into the social construction of macroeconomic knowledge
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Radanovic, Ivana <1990>. "Estimation of Phillips Curve for selected group of European Union countries: a time series perspective." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/11637.
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The purpose of this work is the study of Phillips curve and its examination across the time series of France, Italy and United-Kingdom. Apart from an empirical analysis it is presented the theoretical review about the evolution of curve over time.
The macroeconomic model used for the estimation is expectations-augmented Phillips curve, under the hypothesis that the expectations of inflation are equal to the last year inflation rate. Generally, adaptive-expectations mechanism is applied whose proponent was, among others, Milton Friedman. The model attempts to explain the dynamics of the inflation rate using the one period lagged inflation rate and unemployment rate, thus obtaining the estimate of the model in the Autoregressive Distributed Lag ARDL(1,0) form.
The output of the regressions show there is a short-run negative relation between unemployment and inflation rate. Therefore, the model results compatible with inverse trade-off underlying theory of Phillips curve and can be considered as efficient instrument in conduction of the monetary policy. In short-run it is confirmed the existence of the curve for the data took into consideration and model prove to be adequate for the assessment of the inflation performance.
In order to get an idea about the final effect of exogenous variable unemployment rate permanent change on inflation rate it is carried out the calculation of long term-coefficients estimate. It is demonstrated that long-term Phillips curve is negative sloping contrary to Friedman’s view who denied its existence in the long-run.
Before affirming that we have correct model it is checked for the presence of unit roots. Moreover is performed testing of the residuals of regression. As results evidence there is no threat of spurious regression.
However, there is a difference across the country estimates. Verifying the selection criteria all models appear to have satisfactory fitting but the best prove to be Phillips curve related to France.
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Kim, Yunmi. "Essays on time series models with dynamic coefficients in macroeconomics and finance /." Thesis, Connect to this title online; UW restricted, 2008. http://hdl.handle.net/1773/7379.
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Zoul, Lukáš. "Ověření platnosti vybraných ekonomických teorií na makroekonomických datech České republiky." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-264683.
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The main goal of the thesis is to explore selected economical hypotheses through theoretical conception applying macroeconomics data from the Czech Republic. This thesis includes the following hypotheses: budget deficits solved by increasing taxes, compromise between unemployment and inflation, low impact of budget deficits. To verify these hypotheses, there is a comparison with economic theories such as Laffer curve, which has showed that Laffer peak is at the level of 22 % taxation. Other used theory is the Phillips curve where correlation between inflation and unemployment rate is stronger based on yearly data than on monthly data. Theoretical model IS-LM has confirmed that multiplication effect could have caused the positive economic growth in 2010 and 2011. Even if economical hypothesizes are partially correct, they are not recommended for the government to determine their decisions. There are more efficient long-term solutions that can be used to solve challenges of the recent economic situation.
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Oliveira, Maria Thalita Arruda. "Ciclos econÃmicos, expectativas e inflaÃÃo: uma anÃlise a partir de estimaÃÃes da curva de Phillips Novo Keynesiana." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=14322.
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nÃo hÃO estudo analisa a dinÃmica recente da inflaÃÃo brasileira. Considerando ambientes distintos de expectativas, procura-se observar como um possÃvel comportamento discricionÃrio da autoridade monetÃria pode interferir nas expectativas forward-looking dos agentes e de que forma essa interferÃncia pode atuar sobre a resposta da inflaÃÃo Ãs oscilaÃÃes nos ciclos econÃmicos e nas expectativas backward-looking e forward-looking no arcabouÃo da CPNK. Para tal, faz-se uso de estimaÃÃes GMM-HAC da CPNK e de sua versÃo hÃbrida. Os resultados sugerem que, em um ambiente de maior incerteza, a inflaÃÃo tanto se mostra mais sensÃvel Ãs oscilaÃÃes nos ciclos econÃmicos como tem o seu componente inercial majorado.
This work analyzes the recent dynamics of Brazilian inflation expectations considering different environments to observe how a possible discretionary behavior of the monetary authority can interfere with forward-looking expectations of agents and how this interference can act on the response of inflation to fluctuations in economic cycles and the backward-looking and forward-looking expectations of agents in the NKPC framework. To do this, estimates of GMM-HAC and the NKPC, as well as its hybrid version, are used. The results suggest that in an environment of greate run certainty, inflation is shown to be much more sensitive to swings in economic cycles, as well as it shows an increase in its inertial component.
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Schwarzer, Johannes A. [Verfasser], and Harald [Akademischer Betreuer] Hagemann. "Price stability versus full employment : the Phillips curve dilemma reconsidered / Johannes A. Schwarzer. Betreuer: Harald Hagemann." Hohenheim : Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim, 2016. http://d-nb.info/1103572466/34.
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Dřímal, Marek. "How Does the New Keynesian Phillips Curve Forecast the Rate of Inflation in the Czech Economy?" Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-198859.
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This analysis studies the phenomenon of the New Keynesian Phillips Curve - its inception from the RBC theory and DSGE modelling via incorporation of nominal rigidities, and its various specifications and empirical issues. The estimates on Czech macroeconomic data using the Generalised Method of Moments show that the hybrid New Keynesian Phillips Curve with the labour income share or the real unit labour cost as driving variables can be considered as an appropriate model describing inflation in the Czech Republic. Compared to other analyses, we show that the inflation process in the Czech Republic exhibits higher backwardness vis-a-vis other researchers' estimates based on US data.
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Oliveira, Luma de. "Inflação e desemprego : ensaios sobre a curva de phillips para a economia brasileira." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2017. http://hdl.handle.net/10183/168651.
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A presente tese, a partir de três ensaios, faz uso de diferentes especificações da curva de Phillips, para discutir distintos objetivos embasados em assuntos relevantes como o processo de determinação de preços e seus custos sociais para a economia brasileira. Neste sentido, o primeiro ensaio utiliza de uma equação de transferência para a especificação da curva de Phillips, a partir do método das variáveis instrumentais, para alcançar a taxa de desemprego não aceleradora da inflação (NAIRU). Este método, para dados trimestrais de 2000 a 2013, possibilitou identificar uma mudança no coeficiente de correlação entre a taxa de desemprego e a taxa de inflação, que passou de um trade-off (negativo) para uma relação positiva, além da permanência da taxa NAIRU acima da taxa de desemprego no período em questão. Preocupando-se com este resultado expressivo, o segundo ensaio se comprometeu em analisar se esse adveio de possíveis não linearidades presentes na curva, preocupação que já havia sido retratada pelo trabalho seminal de Phillips (1958), indicando que a relação da taxa de variação dos salários nominais e a taxa de desemprego seria altamente não linear. Nesse contexto, utilizando o modelo de vetores autorregressivos que considera a não-linearidade dos parâmetros (quebras estruturais), variáveis exógenas de controle (para contornar o problema de omissão de variáveis) para o período de 1995 a 2014, estimou-se a Curva de Phillips Novo-Keynesiana Hibrida (CPNKH) para identificar possíveis quebras estruturais para dados da economia brasileira. O modelo estimado foi caracterizado por um MSIH(2)VAR(1) e foi possível confirmar a não linearidade a partir do teste da razão de verossimilhança, com a identificação de dois períodos bem distintos ao longo da amostra. Além disso, foi verificada uma representatividade maior para o termo inercial (Backward Looking) indicando que as expectativas de inflação contribuem menos para a explicação do processo inflacionário recente da economia brasileira. Uma vez que um dos principais objetivos do Regime de Metas de Inflação (RMI) é ancorar a formação de preços a partir das expectativas futuras dos agentes econômicos, além disso, dada a não linearidade encontrada para dados da economia brasileira no segundo ensaio, e dada as diferentes significâncias, importâncias e patamares para os componentes da curva que representam as expectativas (futuras e passadas), o terceiro ensaio se comprometeu em, ao invés de confiar exclusivamente em uma única medida de tendência central, analisar os quantis de toda a distribuição condicional da variável resposta (taxa de inflação). Utilizando do método da regressão quantílica inversa, que utiliza os blocos em movimento bootstrap de Fitzenberger (1997), descrito por Chernozhukov e Hansen (2005), para o período de maio de 2001 a agosto de 2016, foi possível identificar a importância adquirida pelas expectativas futuras ao longo dos períodos analisados. Quando se faz estimações considerando somente a média condicional, o termo inercial é maior e significativo para praticamente todas as especificações e modelos apresentados. Utilizando do modelo da regressão quantílica inversa, por outro lado, é possível verificar que o termo Forward Looking ganha força e domina o Backward Looking nos três períodos analisados, em diferentes níveis de inflação, demonstrando, assim, o comportamento assimétrico (não linear) do processo inflacionário. Desta forma, foi possível mostrar o amadurecimento do objetivo do RMI e averiguar que os componentes expectacionais da CPNKH, para dados da economia brasileira, foram capazes de manter sua importância e significância em toda distribuição condicional no processo de determinação de preços recente.The present dissertation, based on three essays, makes use of different specifications for the Phillips curve, to discuss different objectives based on relevant issues such as the process of price determination and its social costs for the Brazilian economy. In this sense, the first assay uses a transfer equation for the specification of the Phillips curve, using the instrumental variables method, to reach the non-accelerating inflation rate of unemployment (NAIRU). This method, for quarterly data from 2000 to 2013, enable the identification of a change in the coefficient of correlation between the unemployment rate and the inflation rate, which transitioned from a trade-off to a positive relation, in addition to the permanence of the NAIRU above the unemployment rate in the period in question. Concerning with this expressive result, the second essay undertook to analyze whether this resulted from possible non-linearities present in the curve, a concern that had already been portrayed by the seminal work of Phillips (1958), indicating that the relation of the rate of change of wages and the unemployment rate would be highly non-linear. In this context, using the autoregressive vector model that considers the non-linearity of the parameters (structural breaks), exogenous variables of control (to circumvent the problem of omission of variables) for the period from 1995 to 2014, it was estimated the Phillips New-Keynesian Hybrid (CPNKH) to identify possible structural breaks for Brazilian economy data. The estimated model was characterized by a MSIH (2) VAR (1) and it was possible to confirm the nonlinearity from the likelihood ratio test, with the identification of two distinct periods throughout the sample. In addition, it was verified a greater representativeness for the inertial term (Backward Looking), indicating that the expectations of inflation contributed less to the explanation of the recent inflationary process of the Brazilian economy. Since one of the main objectives of the Inflation Targeting Regime (ITR) is to anchor the formation of prices based on the future expectations of the economic agents, in addition, given the non-linearity found for the data of the Brazilian economy in the second essay, and considering the different significance, importance and thresholds for the components of the curve that represent (future and past) expectations, the third assay committed to, instead of relying solely on a single measure of central tendency, analyze the quantiles of the entire conditional distribution of the response variable (inflation rate). Using the reverse quantum regression method, which uses the Fitzenberger (1997) bootstrap blocks, described by Chernozhukov and Hansen (2005), for the period from May 2001 to August 2016, it was possible to identify the importance acquired by the expectations over the periods analyzed. When estimating only the conditional average, the inertial term is larger and significant for practically all the specifications and models presented. On the other hand, it is possible to verify the Forward Looking term gaining importance and dominating the Backward Looking in the three analyzed periods, at different levels of inflation, thus, demonstrating the asymmetric (non-linear) behavior of the inflationary process. In this way, it was possible to show the maturity of the objective of the ITR as to verify that the expected components of the CPNKH for the Brazilian economy data were able to maintain its importance and significance in all conditional distribution in the recent pricing process.
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Turner, Ronald. "Inflation targeting lessons from known targeters /." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 52 p, 2008. http://proquest.umi.com/pqdweb?did=1459908591&sid=7&Fmt=2&clientId=8331&RQT=309&VName=PQD.
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Kuchařík, Tomáš. "Nezaměstnanost a inflace v České republice a sousedních zemích." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359319.
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The aim of this thesis is to verify the existence of dependence between inflation and unemployment through the Phillips curve in the Czech Republic and its neighboring countries (Poland, Austria, Slovakia and Germany). This observed relationship is complemented by the economic development of both macroeconomic variables in these countries. The first chapter is devoted to the theoretical background of inflation, unemployment and Phillips curves. In the second chapter, the data used to verify the existence of the inverse relationship between inflation and unemployment is defined. The third chapter is country-by-country, with the development of inflation and unemployment rates first and then Phillips curves based on available data. The last section is devoted to a summary of the achieved results.
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Mardaneh, Somayeh. "Three essays on inflation dynamics and oil economics in the context of the New Keynesian Phillips Curve." Thesis, University of Leicester, 2013. http://hdl.handle.net/2381/28180.
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In the first chapter, the structural stability of the hybrid New Keynesian Phillips Curve (NKPC) and possible changes in pricing behaviour of firms is investigated in the context of oil price shocks. Using quarterly US aggregate data, this curve is estimated in subsamples formed with oil shock dates by generalized method of moments (GMM) and continuously updated GMM (CU-GMM). The standard GMM estimates suggest that although the forward-looking behaviour is predominant in pre-oil shock period, it loses ground against backward-looking behaviour after every oil shock. The CU-GMM results confirm the structural instability of hybrid NKPC in presence of oil shocks but now forward-looking behaviour becomes more important after oil shocks. In the second chapter, the structural stability of the NKPC featuring evolving trend inflation derived by Cogley and Sbordone’s (2008) is tested by exploiting three major oil shocks and three macroeconomic regimes. This is estimated by adapting two-step procedure combining Bayesian vector autoregression with minimum distance estimation. The results suggest that when a large and persistent macroeconomic shock sets off a large and sudden increase in trend inflation, backward-looking becomes more rational. When we impose continuous evolving trend inflation across macroeconomic regimes known as Great Inflation, Great Moderation, and Great Recession, the estimates of firm pricing parameters implies a structurally stable NKPC. In the final chapter, a small open economy NKPC is derived and estimated for a developing oil-exporting economy sick with Dutch-Disease. This curve is estimated for standard closed and open economy specifications of the Iranian economy. Introducing open economy elements produces three differences in the estimation. First, the degree of price stickiness and the fraction of backward-looking firms decrease. Second, the degree of substitutability between inputs is close to unity for Iranian economy. Third, the forward-looking behaviour gains ground while the backward-looking behaviour becomes less important.
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Lunardelli, André. "Inércia inflacionária e o custo das estabilizações nos EUA." Universidade de São Paulo, 2002. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-30082010-001701/.
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Utilizando a survey junto ao consumidor da universidade de Michigan, obtivemos dados a respeito das expectativas dos agentes não só sobre inflação, mas também sobre nível de atividade (os estudos de Roberts (1997) utilizaram apenas os dados de survey sobre expectativas inflacionárias). Verificamos, então, que grande parcela do custo das estabilizações dos EUA foi antecipado pela maior parte dos agentes, o que nos levou a rejeitar os modelos de Taylor (1979, 1980) e de Calvo (1983), mesmo em suas versões com as hipóteses de falta de credibilidade e informação homogeneamente defasada. Em seguida discutimos como um modelo com fairness, pode explicar este quebra cabeças. Finalmente, examinamos, três possíveis fatores (mutuamente compatíveis): a hipótese de que parte da população tenha expectativas inconsistentes, incerteza knightiana e o modelo com fairness. Nossos resultados empíricos penderam a favor de uma combinação de pelo menos uma das duas últimas alternativas com a primeira.Using the Michigan Universitys consumer survey, we obtained data about agents expectations of both inflation and output (the latter had not been used in Roberts (1997) studies). With this, we were able to verify that a great part of the sacrifice ratios of the US stabilizations were anticipated by common agents, rejecting the Taylor (1979, 1980) and Calvo (1983) models and, with it, the hypothesis that the only reasons underlying them are staggered contracts, homogeneous sticky information and lack in credibility. WE, then, discuss how a model with fairness can explain this puzzle. Finally, we examine three (mutually consistent) factors: the hipothesis that part of the population have inconsistent expectatitons, Knightian uncertainty and te model with fairness. The results favored the combination of at least one of the two latter alternatives with te former.
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Tsuruga, Takayuki. "Essays on sluggishness in macroeconomics." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1117222245.
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Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains xii, 106 p.; also includes graphics (some col.) Includes bibliographical references (p. 102-106). Available online via OhioLINK's ETD Center
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Lepa, Henri, and Linh Dieu Pham. "The Phillips Curve and the Global Financial Crisis : A study on the Nordic countries from 1999 to 2016." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40399.
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This paper examines the effects of the Global Financial Crisis on the relationship between unemployment and inflation rate through the Phillips Curve in five Nordic countries: Denmark, Finland, Iceland, Norway and Sweden, from 1999 to 2016. The Nordic countries are quite unique in the world, as they are all economically and culturally connected to each other, which allows us to analyse how the crisis affected them differently. The foundation of our research is the Phillips Curve, which shows an inverse relationship between unemployment and inflation. By using the two-way fixed effects model, we have investigated whether the Phillips Curve and the relationship still holds during the time of the crisis for the Nordic countries. The results have shown that the relationship has changed during the crisis period, which might be due to the unemployment shock and the low targeted inflation rate.
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Måseide, Hanne. "The Phillips Curve and The Great Recession : A cross-section comparison among eight European countries between 2000-2017." Thesis, Umeå universitet, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-161256.
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The idea behind this bachelor thesis comes from findings of a study made by L. M. Ball & Mazumder (2011). After 2008, the unemployment rate in the U.S started to rise which according to predictions from the Phillips inflation should turn into deflation. Although, the U.S faced a different outcome. The results from their study indicated that the Phillips curve has been performing poorly after the Great Recession and they stated that the credibility of the Phillips curve can be questioned. This study aims to analyze the relationship between the unemployment rate and inflation, known as the Phillips curve, in eight European countries. It further aims to investigate if the Great Recession had any effect on the relationship. This is made by using annual data over the time period of 2000-2017. The results show that there exist country-specific differences in four out of the eight countries included in the study. It also shows that the relationship between unemployment and inflation is weakest in Italy and strongest in France. Furthermore, the study could show that the relationship had become stronger after the Great Recession in France, Finland, and Italy.
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Kim, Insu. "Essays on inflation and wage dynamics theory and evidence /." Diss., [Riverside, Calif.] : University of California, Riverside, 2010. http://proquest.umi.com/pqdweb?index=0&did=2019836991&SrchMode=2&sid=2&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1274718054&clientId=48051.
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Thesis (Ph. D.)--University of California, Riverside, 2010.Includes abstract. Title from first page of PDF file (viewed May 19, 2010). Includes bibliographical references. Issued in print and online. Available via ProQuest Digital Dissertations.
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Arruda, Elano Ferreira. "Linear and not Linear models of the Curve of Phillips for Forecast of the Tax of Inflation in Brazil." Universidade Federal do CearÃ, 2008. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1850.
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FundaÃÃo de Amparo à Pesquisa do Estado do CearÃThis paper presents an analysis of forecasting the Brazilian monthly inflation rate from different models linear and nonlinear time series and the Phillips Curve, with the goal of identifying the best predictive mechanism for this variable. The model used as a comparative basis of forecasts in this study was the case with autoregressive moving average. Within this class of models, the model that generated the lowest mean square forecasting error (MSE) was the AR (1). In general, the threshold models used indeed had a better performance in forecasting of the rate of inflation that the linear models. The model autoregressive indeed threshold (TAR) presented a forecast of MSE equal to 4.3%, result around 10.41% better than the forecast of the linear AR (1) process. Among the Phillips curve models which submitted the lowest estimate of MSE was the Phillips curve extended with threshold effect that had an MSE equal to 3.4%, 28.5% better result than the model AR (1) and 32.6% better than the Phillips curve extended linear. In addition to a lower estimate of MSE, the graphic analysis revealed that the Phillips curve model extended with Threshold effect also provides better forecasts for sign changes. The test proposed by Diebold and Mariano (1995) was also performed and showed a result that indicates a significant difference between AR model (best linear model) MSE and the Phillips curve model expanded with threshold (best non-linear model). That is, the non-linear model also presented better results according to this second test.
O presente trabalho apresenta uma anÃlise de previsÃo da taxa de inflaÃÃo mensal brasileira a partir de diferentes modelos lineares e nÃo lineares de sÃries temporais e da Curva de Phillips com o objetivo de identificar o melhor mecanismo preditivo para esta variÃvel. O modelo utilizado como base comparativa das previsÃes neste estudo foi o processo autoregressivo com mÃdia mÃvel. Dentro desta classe de modelos, o modelo que gerou o menor erro de previsÃo quadrado mÃdio (EQM) foi o AR(1). Em geral, os modelos com efeito limiar utilizados tiveram melhor desempenho na previsÃo da taxa de inflaÃÃo que os modelos lineares. O modelo autoregressivo com efeito threshold (TAR) apresentou um EQM de previsÃo igual a 4,3%, resultado cerca de 10,41% melhor que a previsÃo do processo AR (1) linear. Entre os modelos da curva de Phillips o que apresentou o menor EQM de previsÃo foi o da curva de Phillips ampliada com efeito threshold que teve um EQM igual a 3,4%, resultado 28,5% melhor do que o modelo AR (1) e 32,6% melhor que a curva de Phillips ampliada linear. AlÃm de um menor EQM de previsÃo, a anÃlise grÃfica revelou que o modelo da curva de Phillips ampliada com efeito Threshold tambÃm prevà melhor as mudanÃas de sinal. TambÃm foi realizado o teste proposto por DIEBOLD e MARIANO (1995) de comparaÃÃo de previsÃes que apresentou um resultado que aponta para uma diferenÃa significante entre os EQM de previsÃo do modelo AR (melhor modelo linear) e o do modelo da curva de Phillips ampliada com threshold (melhor modelo nÃo-linear). Ou seja, o modelo nÃo linear apresentou um melhor resultado tambÃm segundo esse teste.
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Navarini, Marcelo. "Curva de Phillips: uma aplicação para o Brasil no período de meta de inflação." Universidade do Vale do Rio do Sinos, 2008. http://www.repositorio.jesuita.org.br/handle/UNISINOS/2766.
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Essa dissertação procura avaliar a dinâmica da inflação no Brasil no período de março de 2000 a dezembro de 2007, através de uma Curva de Phillips híbrida, na especificação que permite além do termo “forward looking”, representado pela expectativa de inflação, o termo “backward looking” através da inflação defasada. Inicialmente, procura-se fazer uma exposição da teoria da Curva de Phillips, partindo da abordagem clássica até a abordagem dos novos keynesianos. A revisão da literatura destaca que a Curva de Phillips tem dificuldade em se ajustar à dinâmica da inflação. Dessa forma, a inclusão do termo que representa a inércia da inflação melhora sua adequação. Conjuntamente, o nível de atividade representado pelo hiato do produto não é estatisticamente significativo, fato esse que é suportado por outros trabalhos na literatura. Avalia-se a utilização do custo unitário do trabalho como proxy do nível de atividade, e os resultados não se alteram significativamente. Os dados de inflação relativos ao último trimes
This dissertation assess the inflation dynamics in Brazil through a hybrid Phillips Curve, at the specification that allows the "forward term", represented by inflation expectation, and the "backward term" through by inertial inflation. Initially, several approaches for the Phillips Curve's theory, from classical to new Keynesian, are presented and detailed. As pointed out by the precedent literature, it is shown that the Phillips Curve has some difficulty in adjusting to the inflation dynamics and, as a consequence, that the addition of the “backward term” enhances its fit. Furthermore, the inclusion of a proxy variable for the level of activity, represented by the output gap, is not statistically significant, result supported by previous studies in literature. Finally, it is analyzed the use of a unit labor cost as a proxy for the level of activity, with no significant changes in the results. The inflation data regarding the last tree months of 2002 are influenced by the effects of the political crisis at t
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Machado, Vicente da Gama. "Essays on inflation and monetary policy." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2011. http://hdl.handle.net/10183/40247.
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Esta tese é composta de três artigos relacionados à política monetária e inflação e possuem em comum a ênfase na importância das expectativas tanto para o desenho da política monetária como para a dinâmica inflacionária. No primeiro ensaio, contribuímos para o debate sobre a resposta apropriada de política monetária a flutuações de preços de ativos em um contexto de aprendizagem adaptativa. O modelo conta com dois tipos de regras de juros instrumentais como em Bullard e Mitra (2002), porém com um papel adicional para preços de ativos. Do ponto de vista da E-Estabilidade, conclui-se que uma resposta a preços de ativos não é desejável nem com a regra que utiliza expectativas futuras nem com a regra que responde a valores contemporâneos. Crenças heterogêneas a respeito da dinâmica das flutuações de preços de ativos, inflação e hiato do produto são introduzidas. Também é avaliada uma regra de política monetária ótima que inclui um peso para os preços de ativos. De forma geral, conclui-se que o princípio de Taylor é relevante para todas as regras de juros analisadas e que os bancos centrais devem agir com cautela ao considerar a introdução de preços de ativos na política monetária. No segundo ensaio, oferecemos estimativas recentes de persistência inflacionária no Brasil, com uma abordagem multivariada de componentes não-observados, na qual são consideradas as seguintes fontes que impactam na persistência da inflação: desvios das expectativas da meta real de inflação; persistência dos fatores que provocam inflação; e termos defasados da inflação. Dados de inflação, produto e taxas de juros são decompostos em componentes não-observados e, para simplificar a estimativa de um número grande de variáveis desconhecidas, utilizamos análise bayesiana, seguindo Dossche e Everaert (2005). Os resultados indicam que a persistência baseada em expectativas tem grande participação na persistência inflacionária no Brasil, que tem diminuído nos últimos anos. Tal resultado implica que apenas as tradicionais fricções no ajuste de preços usadas nos modelos macroeconômicos não são suficientes para representar a real persistência da inflação. No último capítulo estimamos diversas curvas de Phillips reduzidas com dados brasileiros recentes, numa abordagem de séries de tempo com componentes não-observados, que se apresenta como alternativa às tradicionais estimativas, baseadas em métodos GMM, de curvas de Phillips Novo-Keynesianas (NKPC), que raramente foram bem sucedidas empiricamente. A decomposição em tendência, sazonalidade e ciclo oferece, através do resultado gráfico, interpretação econômica direta. Diferentemente de Harvey (2011), incluímos expectativas de inflação nas estimações, assim como na NKPC habitual. A inflação no Brasil parece ter respondido cada vez menos às medidas de atividade econômica consideradas. Isso consiste em evidência de achatamento da curva de Phillips no Brasil, o que significa por um lado custos de desinflação mais altos, mas por outro lado menores pressões inflacionárias derivadas de crescimento do produto.This thesis is composed of three essays on monetary policy and inflation that share particular emphasis on the importance of expectations for both monetary policy design and inflation dynamics. First we contribute to the debate on the appropriate response of monetary policy to asset price fluctuations in an adaptive learning context. Our model accounts for two types of instrumental rules in the spirit of Bullard and Mitra (2002), but with an additional role for asset prices. From the point of view of EStability, we find that a response to stock prices is not desirable under both a forward expectations policy rule and an interest rate rule responding to contemporaneous values. Heterogeneous beliefs about the dynamics of asset price fluctuations, inflation and the output gap are introduced. We also evaluate an optimal monetary policy rule including a weight on asset prices. Overall we find that the Taylor principle remain important over all interest rate rules analysed and that central banks should remain cautious when considering the introduction of stock prices in monetary policy. In the second essay, we provide recent estimates of inflation persistence in Brazil in a multivariate framework of unobserved components, whereby we account for the following sources affecting inflation persistence: First, deviations of expectations from the actual policy target; second, persistence of the factors driving inflation; and third, lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components and to simplify the estimation of a great number of unknown variables, we utilize bayesian analysis as in Dossche and Everaert (2005). Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil, which has experienced an overall decrease in the last few years. This finding implies that traditional price-setting frictions used in macroeconomic models are not enough to represent actual inflation persistence. In the last chapter we estimate alternative reduced-form Phillips curves with recent Brazilian data, using a framework of time series with unobserved components, as an alternative to traditional GMM estimations of the New Keynesian Phillips Curve (NKPC), which have seldom been empirically successful. The decomposition into trend, seasonal and cycle features offers, through the graphical output, straightforward economic interpretations. Differently from Harvey (2011), we allow for inflation expectations as in the usual NKPC. Inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, which means higher costs of disinflation on the one hand, but also lower inflationary pressures derived from output growth, on the other.