A Sticky Information Phillips Curve for South Africa

Monique Reid and Gideon Rand

South African Journal of Economics, 2015, vol. 83, issue 4, 506-526

Abstract: Mankiw and Reis propose the Sticky Information Phillips Curve (SIPC) as an alternative to the standard New Keynesian Phillips Curve to address empirical shortcomings in the latter. A SIPC for South Africa is estimated, and we find estimates of information updating probability between 0.69 and 0.81, somewhat higher than suggested by methods using micro-evidence. Because the estimation requires data on expectations of current period inflation and output gap conditional on sequences of earlier period information sets, we provide a detailed analysis of the impact on our estimates of alternative proxies available in South Africa.

Date: 2015
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Working Paper: A sticky information Phillips curve for South Africa (2013)
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