aggregate inflation and the higher-order moments of the distribution of relative price changes. Our empirical findings confirm … explanatory variable for the inflation rate. Further, the skewness measure also helps to explain shifts in the Phillips curve …

This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and … autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence … from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead …

This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and … autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence … from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead …

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 inflation and instead derived from the European Commission’s Consumer …

model together with long memory are used to examine these features in inflation series for three economies. The results … which compares favourably with that of van Dijk et al. (2002) elicit some interesting attributes of inflation in the …

Changing time series properties of US inflation and economic activity are analyzed within a class of extended Phillips … models that describe changing patterns in low and high frequencies and backward as well as forward inflation expectation … performance. Weak identification and dynamic persistence appear less important when time varying dynamics of high and low …

The Non-Accelerating Inflation Rate of Unemployment (NAIRU) is a variable of interest to policy makers as it provides … details Treasury's updated model. We consider specification choices that include: updating the measures of inflation and … inflation expectations; the introduction of a productivity gap term; the inclusion of a structural break to allow for the …

The present paper uses survey data on expected consumer price developments to analyse the role of inflation … expectations in the inflation process. The survey measures of price expectations are derived from the European Commission … estimates of the New Keynesian inflation model presented here underscore the importance of inflation expectations for the short …

This paper presents the New Keynesian Phillips Curve (NKPC) -based framework for analysing euro area inflation outlook …. Our NKPC specification, that relies on market- and survey-based inflation expectations, explains well euro area inflation … long-horizons. Overall, the NKPC is a useful tool for monitoring euro area inflation outlook. Thanks to its fast and light …

Inflation expectations are key to economic activity, and in the current economic climate of a heated labor market, they … therefore individual behavior, may not be sensitive to changes in inflation when it is low. This paper explores evidence of such … inflation expectations. Exploring inflation thresholds of 2, 3, and 4 percent, our findings are consistent with the inattention …