Please use this identifier to cite or link to this item:
https://hdl.handle.net/1822/60614
Title: | The Phillips Curve at 60: time for time and frequency |
Author(s): | Aguiar-Conraria, Luís Martins,Manuel M. F. Soares, M. J. |
Keywords: | Phillips Curve Inflation Unemployment Business Cycles Continuous Wavelet Transform Partial Wavelet Gain |
Issue date: | 2019 |
Publisher: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
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. |
Type: | Working paper |
URI: | https://hdl.handle.net/1822/60614 |
Publisher version: | https://www.eeg.uminho.pt/pt/investigar/nipe/Paginas/publicacoes.aspx |
Access: | Open access |
Appears in Collections: | NIPE - Documentos de Trabalho |
Files in This Item:
File | Description | Size | Format | |
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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 |