The Phillips curve at 65: Time for time and frequency

Luís Aguiar-Conraria, Manuel Martins and Maria Joana Soares

Journal of Economic Dynamics and Control, 2023, vol. 151, issue C

Abstract: We estimate the U.S. New Keynesian Phillips Curve in the time-frequency domain with continuous wavelet tools to provide integrated answers to three controversial issues. (1) Has the short-run tradeoff been stable? (2) What has been the role of expectations? (3) Is there a long-run tradeoff? First, we find that the short-run tradeoff is limited to some specific episodes and that there is no evidence of nonlinearities or structural breaks. Second, households’ expectations captured trend inflation until the Great Recession, but not since 2008. Finally, there is no significant long-run tradeoff. In the long-run, expectations explain inflation.

Keywords: Phillips curve; Inflation; Unemployment; Business cycles; Continuous wavelet transform; Partial wavelet gain (search for similar items in EconPapers)
JEL-codes: C49 E24 E32 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016518892300026X
Full text for ScienceDirect subscribers only

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:eee:dyncon:v:151:y:2023:i:c:s016518892300026x

DOI: 10.1016/j.jedc.2023.104620

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().