Contracting models of the Phillips curve empirical estimates for middle-income countries
This paper provides empirical estimates of contracting models of the Phillips curve for eight middle-income developing countries (Chile, Colombia, Korea, Malaysia, Mexico, Morocco, Tunisia, and Turkey). Following an analytical review, a variety of models with one and more leads and lags are estimated using two-step GMM techniques. Nested and non-nested tests are used to select a specification for each country, and in-sample predictive capacity and stability are analyzed. Higher-dimension models tend to perform better than parsimonious models with one lead and one lag. Except for Colombia and Korea, backward-looking behavior has a relatively larger impact on inflation dynamics. World oil prices and relative input prices have a limited effect, whereas borrowing costs are significant for Korea and Mexico.
Year of publication: |
2010
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Authors: | Agénor, Pierre-Richard ; Bayraktar, Nihal |
Published in: |
Journal of Macroeconomics. - Elsevier, ISSN 0164-0704. - Vol. 32.2010, 2, p. 555-570
|
Publisher: |
Elsevier |
Keywords: | New Keynesian Phillips curve GMM Middle-income countries |
Saved in:
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