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|Title:||The Phillips Curve at 60: time for time and frequency|
Martins,Manuel M. F.
Soares, M. J.
Continuous Wavelet Transform
Partial Wavelet Gain
|Publisher:||Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)|
|Journal:||NIPE Working Paper|
|Abstract(s):||We estimate the U.S. New Keynesian Phillips Curve in the time-frequency domain with continuous wavelet tools, to provide an integrated answer to the three most controversial issues on the Phillips Curve. (1) Has the short-run tradeoff been stable? (2) What has been the role of expectations? (3)Is there a long-run tradeoff? First, we find that the short-run tradeoff is limited to some specific episodes and short cycles and that there is no evidence of nonlinearities or structural breaks. Second, households´ expectations captured trend inflation and were anchored until the Great Recession, but not since 2008. Then, inflation over-reacted to expectations at short cycles. Finally, there is no significant long-run tradeoff. In the long-run, inflation is explained by expectations.|
|Appears in Collections:||NIPE - Documentos de Trabalho|
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|NIPE_WP_4_2019.pdf||The Phillips Curve at 60: time for time and frequency||3,55 MB||Adobe PDF||View/Open|