The US Wage Phillips Curve over Different Time Horizons

In this paper we examine the features of the US wage Phillips curve over different time horizons analyzing the original Phillips’ specification on a scale-by-scale basis with data transformed by wavelet and band-pass filtering methods. Our results provide compelling evidence that the wage Phillips curve relationship is frequency-dependent, i.e. it varies across frequency bands. In particular, estimation results over frequency bands beyond the business cycle horizon, where the variables have large coefficient values, are very highly significant and explain a substantial proportion of the total variation of nominal wage changes, suggest that the medium-run may be a correct time frame for the wage Philips’ relationship.