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The long-run Phillips curve: A structural VAR investigation

Luca Benati ()

Journal of Monetary Economics, 2015, vol. 76, issue C, 15-28

Abstract: Both cointegration methods, and non-cointegrated structural VARs identified based on either long-run restrictions, or a combination of long-run and sign restrictions, are used in order to explore the long-run trade-off between inflation and the unemployment rate in the post-WWII U.S., U.K., Euro area, Canada, and Australia. Overall, neither approach produces clear evidence of a non-vertical trade-off. The extent of uncertainty surrounding the estimates is however substantial, thus implying that a researcher holding alternative priors about what a reasonable slope of the long-run trade-off might be will likely not see her views falsified.

Keywords: Inflation; Unemployment; Phillips curve; Unit roots; Cointegration; Bayesian VARs; Structural VARs; Long-run restrictions; Sign restrictions (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.jmoneco.2015.06.007

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