Rao, B. Bhaskara and Paradiso, Antonio and Esposito, Piero (2011): Non-stationary inflation and panel estimates of the n ew Keynesian Phillips curve for Australia.
Download (253kB) | Preview
This paper uses a recent panel method of Russell and Banerjee (2008) to estimate the new Keynesian Phillips curve for Australia. Our estimates show that while the hybrid new Keynesian Phillips curve and backward looking conventional Phillips curve are well determined, estimates of the Phillips curve with the pure forward looking expectations are unsatisfactory.
|Item Type:||MPRA Paper|
|Original Title:||Non-stationary inflation and panel estimates of the n ew Keynesian Phillips curve for Australia|
|Keywords:||Panel data estimates, new Keynesian Phillips curve, Australia and Unit roots in the rate of inflation.|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation|
|Depositing User:||B. Bhaskara Rao|
|Date Deposited:||06. Mar 2011 21:17|
|Last Modified:||12. Feb 2013 05:54|
Bai, J., Perron, P. (2003) Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1 – 22.
Cogley, T., Sbordone, A. M. (2008) Trend inflation, indexation, and inflation persistence in New Keynesian Phillips curve, American Economic Review, 89, 2101 – 2126.
Gali, J., Gertler, M. (1999) Inflation dynamics: A structural econometric analysis, Journal of Monetary Economics, 44, 195 – 222.
Henry, O. T., Shields, K. (2004) Is there a unit root in inflation?, Journal of Macroeconomics, 26, 481 – 500.
Ireland, P. N. (2007) Changes in the Federal Reserve’s inflation target: Causes and Consequences, Journal of Money, Credit and Banking, 39, 1851 – 1882.
King, R. G., Watson, M. W. (1994) The post-war U.S. Phillips curve: A revisionist econometric history, Carnegie-Rochester Conference Series on Public Policy, 41, 157 – 219.
Russell, B., Banerjee, A. (2008) The long-run Phillips curve and non-stationary inflation, Journal of Macroeconomics, 30, 1792 – 1815.
Russell, B., Banerjee, A., Malki I., and Ponomareva, N. (2010) A multiple break panel approach to estimating United States Phillips curves, Discussion Papers, Department of Economic Studies, University of Dundee, No. 232.
Stock, J. H., Watson, M. W. (2007) Why has U.S. inflation become harder to forecast?, Journal of Money, Credit and Banking, supplement to vol. 39, 3 – 33.