EconPapers    
Economics at your fingertips  
 

Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters*

Gary Koop and Luca Onorante

No 1109, Working Papers from University of Strathclyde Business School, Department of Economics

Abstract: This paper uses forecasts from the European Central Bank?s Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our empirical work. Given the relatively short data span of the Survey of Professional Forecasters and the need to control for many explanatory variables,we use dynamic model averaging in order to ensure a parsimonious econometric specification. We use both regression-based and VAR-based methods. We find no support for the backward looking behavior embedded in the Neo-classical Phillips curve. Much more support is found for the forward looking behavior of the New Keynesian Phillips curve, but most of this support is found after the beginning of the financial crisis.

Keywords: inflation expectations; survey of professional forecasters; Phillips curve; Bayesian (search for similar items in EconPapers)
JEL-codes: C11 C53 E31 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2011-03
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.strath.ac.uk/media/1newwebsite/departme ... 2011/11-09_final.pdf (application/pdf)

Related works:
Working Paper: Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters (2012) Downloads
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:str:wpaper:1109

Access Statistics for this paper

More papers in Working Papers from University of Strathclyde Business School, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kirsty Hall ().

 
Page updated 2025-03-22
Handle: RePEc:str:wpaper:1109