The US Wage Phillips Curve over Different Time Horizons

M. Gallegati (), M. Gallegati, James B. Ramsey and Willi Semmler
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M. Gallegati: Università Politecnica delle Marche
M. Gallegati: Università Politecnica delle Marche
James B. Ramsey: New York University
Authors registered in the RePEc Author Service: Marco Gallegati and Mauro Gallegati

Giornale degli Economisti, 2009, vol. 68, issue 2, 113-148

Abstract: In this paper we examine the features of the US wage Phillips curve over different time horizons analyzing the original Phillips’ specification on a scale-by-scale basis with data transformed by wavelet and band-pass filtering methods. Our results provide compelling evidence that the wage Phillips curve relationship is frequency-dependent, i.e. it varies across frequency bands. In particular, estimation results over frequency bands beyond the business cycle horizon, where the variables have large coefficient values, are very highly significant and explain a substantial proportion of the total variation of nominal wage changes, suggest that the medium-run may be a correct time frame for the wage Philips’ relationship.

Keywords: Wage Phillips curve; Wavelets; Band-pass filter; Phase shift analysis. (search for similar items in EconPapers)
JEL-codes: C63 E24 E31 (search for similar items in EconPapers)
Date: 2009
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