Arch and Structural Breaks in United States Inflation

Bill Russell (w.r.russell@dundee.ac.uk)

No 2013-115, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: United States Phillips curves are routinely estimated without accounting for the shifts in mean inflation. As a result we may expect the standard estimates of Phillips curves to be biased and suffer from ARCH. We demonstrate this is indeed the case. We also demonstrate that once the shifts in mean inflation are accounted for the ARCH is largely eliminated in the estimated model and the model defining expected rate of inflation in the New Keynesian model plays no significant role in the dynamics of inflation.

Keywords: Philips curve; ARCH; structural breaks; inflation; markup (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ger, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10943/540
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: ARCH and structural breaks in United States inflation (2014)
Working Paper: ARCH and structural breaks in United States inflation (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:540

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office (econ-research@ed.ac.uk).