Modeling The Philips Curve: A Time-Varying Volatility Approach

This paper examines the Phillips curve relationship when the second moment of inflation is nonlinear. Specifically, we estimate GARCH models that provide evidence consistent with Keynesian-type models that imply output "overshooting" and inflation fluctuations following aggregate demand shocks. Additionally, the evidence suggests that an increase in the conditional variability of inflation leads to higher levels of inflation.

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Year of publication:	2003
Authors:	Ewing, Bradley T. ; Seyfried, William L
Published in:	Applied Econometrics and International Development. - Euro-American Association of Economic Development. - Vol. 3.2003, 2
Publisher:	Euro-American Association of Economic Development

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Type of publication:	Article
Language:	English
Classification:	E3 - Prices, Business Fluctuations, and Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004965312