Gbaguidi, David Sedo (2011): Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off.
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The current study takes place in the Phillips curve framework in which first, we look at determining econometrics models leading to characterize the dynamics of the main variables underlying the trade-off in uni-variate contexts. As a result, it appears that an adequate way to characterize the agents' expectations regarding the dynamics of these variables, is to consider a combination of some fixed levels (regimes) in the variables evolutions with an agents' adaptive beliefs notion. This expectation process is empirically captured by a Markov Switching Intercept Heteroskedastic - AutoRegressive (MSIH-AR) model. Finally, based on the implied expectations value of the variables, we show that the Phillips curve seems to disappear when the expected inflation rate's impact on its current value converges to its long-term value.
|Item Type:||MPRA Paper|
|Original Title:||Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off|
|Keywords:||New Keynesian Phillips Curve, Markov Switching Models, Fractional Integration, Vectorial AutoRegressive Models|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C20 - General
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
E - Macroeconomics and Monetary Economics > E0 - General > E00 - General
|Depositing User:||David Sedo Gbaguidi|
|Date Deposited:||20. Dec 2011 05:46|
|Last Modified:||13. Feb 2013 22:06|
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