Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/248783 
Year of Publication: 
2021
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2021-099/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space methods which include feasible testing and diagnostic checking procedures. A key finding is that the Phillips curve for U.S. headline inflation has remained empirically relevant over the years.
Subjects: 
Phillips curve
Inflation
Inflation Expectations
State space methods
Bayesian Gibbs sampling
JEL: 
C18
C32
C52
E24
E31
Document Type: 
Working Paper

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