通货膨胀预期与菲利普斯曲线的非线性

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2023-02-04 DOI:10.1002/jae.2963

Alexander Doser, Ricardo Nunes, Nikhil Rao, Viacheslav Sheremirov

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引用次数: 12

摘要

本文研究了菲利普斯曲线中非线性的存在。我们允许一种灵活的非线性形式，并估计阈值回归模型，其中阈值的数量和位置直接从数据中确定。在20世纪60年代末开始的估计期内，我们记录了如果我们正确控制通胀预期，线性模型就不能被拒绝。更准确地说，不控制消费者的预期可能会导致计量经济学家高估非线性程度。我们的结果与综合数据、区域数据以及直接或使用工具变量控制成本推动冲击相一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Inflation expectations and nonlinearities in the Phillips curve

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Inflation expectations and nonlinearities in the Phillips curve

This paper examines the presence of nonlinearities in the Phillips curve. We allow for a flexible form of nonlinearity and estimate a threshold regression model with the number and location of thresholds determined directly from the data. Over the estimation period starting in the late 1960s, we document that the linear model cannot be rejected if we properly control for inflation expectations. More precisely, not controlling for consumer expectations may lead the econometrician to overestimate the degree of nonlinearity. Our results hold with aggregate data, regional data, and controlling for cost-push shocks directly or using instrumental variables.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.