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Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to … control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show … that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with …
Persistent link: https://www.econbiz.de/10014247995
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The Concave Phillips Curve
Kocherlakota, Narayana Rao - National Bureau of Economic Research - 2024
inflation behaves as if prices are nearly fully sticky (flexible). Using (conventional) measures of inflation that understate …
Persistent link: https://www.econbiz.de/10014544805
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The Phillips Curve is Back? Using Panel Data to Analyze the Relationship Between Unemployment and Inflation in an Open Economy
DiNardo, John - 1999
inflation expectations. We develop this measure using assumptions common in economic analysis of open economies. Using quarterly …
Persistent link: https://www.econbiz.de/10012471456
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Productivity Growth and the Phillips Curve
Ball, Laurence - 2001
unemployment-inflation tradeoff since 1995 …
Persistent link: https://www.econbiz.de/10012470298
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Estimating the Long-Run Relationship Between Interest Rates and Inflation : A Response to McCallum
Summers, Lawrence H. - 1984
This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...
Persistent link: https://www.econbiz.de/10012477640
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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong - 1997
, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10012472881
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Cointegration and Tests of Present Value Models
Campbell, John Y. - 1986
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...
Persistent link: https://www.econbiz.de/10012477190
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The Long-Run U.S./U.K. Real Exchange Rate
Engel, Charles - 1996
We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as...
Persistent link: https://www.econbiz.de/10012473057
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Double Robustness of Local Projections and Some Unpleasant VARithmetic
Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - National Bureau of Economic Research - 2024
We consider impulse response inference in a locally misspecified stationary vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage even when the misspecification is so large that it can be detected with probability approaching 1. This...
Persistent link: https://www.econbiz.de/10014544773
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The Band Pass Filter
Christiano, Lawrence J. - 1999
illustrate the use of this approximation, we use it to characterize the change in the nature of the Phillips curve and the money-inflation … change in money growth-inflation relation …
Persistent link: https://www.econbiz.de/10012471533