This paper addresses the estimation of Phillips curve equations for the euro area while employing less stringent assumptions on the functional correspondence between price inflation, inflation expectations and marginal costs. Expectations are not assumed to be an unbiased predictor of actual...

In this paper we adopt both a nonparametric and a semi-parametric IV estimator to show that the relationship between inflation and output growth is non-linear and that there exists a threshold level below which inflation has no effects on growth.

This paper addresses the estimation of Phillips curve equations for the euro area while employing less stringent assumptions on the functional correspondence between price inflation, inflation expectations, and marginal costs. Expectations are not assumed to be an unbiased predictor of actual...

We use a variety of nonparametric test statistics to evaluate the inflation- targeting regimes of Australia, Canada, New Zealand, Sweden and the UK. We argue that a sensible approach of evaluation must rely on a variety of methods, among them parametric and nonparametric econometric methods, for...

This paper challenges the assumption that the inflation process within the euro area is well-described by a linear Phillips curve and investigates in a nonparametric framework how inflation is sensitive to output growth. An asymmetric output-inflation trade-off is pointed out in the euro area at...

This paper uses a cross-state panel for the United States over the 1976 to 2007 period to assess the relationship between income inequality and the inflation rate. Employing a semiparametric instrument variable (IV) estimator, we find that the relationship depends on the level of the inflation...

This paper addresses the estimation of Phillips curve equations for the euro area while employing less stringent assumptions on the functional correspondence between price inflation, inflation expectations and marginal costs. Expectations are not assumed to be an unbiased predictor of actual...

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

This paper shows that the Fed reacts to change in spreads between corporate bond yields and government bond yields over and beyond their information content on future inflation and future activity. This result, obtained in a GMM framework, is confirmed by simulation methods. Moreover, when...

This paper investigates the empirical specification of the Taylor Rule. Building on the New Keynesian paradigm, we derive a general nonlinear specification for the optimal policy rule that nests the standard linear Taylor Rule as a particular case. Using a novel semi-parametric modeling...