Stability of Phillips Curve: The case of Taiwan

Kuo-Hsuan Chin () and Xin-Hua Zheng ()
Additional contact information
Kuo-Hsuan Chin: Department of Economics, Feng Chia University
Xin-Hua Zheng: Department of Economics, Feng Chia University

Economics Bulletin, 2024, vol. 44, issue 2, 635 - 651

Abstract: We study the time-varying slope of the Phillips curve by applying a tri-variate hybrid VAR model with time-varying parameter and stochastic volatility (hybrid TVP-VAR-SV, hereafter) to Taiwan's macroeconomic data. We follow Chan and Eisenstat (2018b) by using a Bayesian approach to approximate the posterior density of (time-varying) parameters and the marginal likelihood of a model, in which the latter one is used for the model comparison. We find that the fitness of a hybrid TVP-VAR-SV model to Taiwan's data is superior to a “non-hybrid” TVP-VAR-SV model of Primiceri (2005), a widely-used one in the current studies. In particular, the estimated parameters shown in the inflation equation, found in the best model and used to characterize the Phillips curve, are time-invariant, supporting the stability of Taiwan's Phillips curve over the past four decades. Moreover, we also find the stability of Phillips curve for China, the largest trading partner for Taiwan and similar to Taiwan in both language and culture, over the past two decades.

Keywords: Bayesian Approach; Phillips Curve; Time Varying Parameter; Vector Autoregression. (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2024-06-30
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2024/Volume44/EB-24-V44-I2-P48.pdf (application/pdf)

Related works:
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:ebl:ecbull:eb-23-00331

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().