Is the slope of the Phillips curve time-varying? Evidence from unobserved components models

Bowen Fu

Economic Modelling, 2020, vol. 88, issue C, 320-340

Abstract: This paper formally tests for time variation in the slope of the Phillips curve using a variety of measures of inflation expectations and real economic slack. We find that time variation in the slope of the Phillips curve depends on the measure of inflation expectations rather than the measure of real economic slack. We find strong evidence in support of the time-varying slopes of the Phillips curve with different measures of inflation expectations. Thus, we conclude that the slope of the Phillips curve is time-varying.

Keywords: Bayesian estimation; The slope of the Phillips curve; Unobserved components model (search for similar items in EconPapers)
JEL-codes: C11 C32 E31 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340

DOI: 10.1016/j.econmod.2019.09.045

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