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Contracting models of the Phillips curve empirical estimates for middle-income countries

Pierre-Richard Agénor () and Nihal Bayraktar

Journal of Macroeconomics, 2010, vol. 32, issue 2, 555-570

Abstract: This paper provides empirical estimates of contracting models of the Phillips curve for eight middle-income developing countries (Chile, Colombia, Korea, Malaysia, Mexico, Morocco, Tunisia, and Turkey). Following an analytical review, a variety of models with one and more leads and lags are estimated using two-step GMM techniques. Nested and non-nested tests are used to select a specification for each country, and in-sample predictive capacity and stability are analyzed. Higher-dimension models tend to perform better than parsimonious models with one lead and one lag. Except for Colombia and Korea, backward-looking behavior has a relatively larger impact on inflation dynamics. World oil prices and relative input prices have a limited effect, whereas borrowing costs are significant for Korea and Mexico.

Keywords: New; Keynesian; Phillips; curve; GMM; Middle-income; countries (search for similar items in EconPapers)
Date: 2010
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Related works:
Working Paper: Contracting Models of the Phillips Curve Empirical Estimates for Middle-Income Countries (2008) Downloads
Working Paper: Contracting models of the Phillips curve - empirical estimates for Middle-income countries (2003) Downloads
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