Unobserved Component Models of the Phillips Relation in the ASEAN Economy

Warapong Wongwachara and Anusorn Minphimai ()
Additional contact information
Anusorn Minphimai: Fiscal Policy Research Institute, Thailand

Journal of Economics and Management, 2009, vol. 5, issue 2, 241-256

Abstract: The subject of this paper is the estimation of the Phillips relation ¡V the inflation-output gap tradeoff ¡V for ASEAN countries. Unobserved component (UC) models are employed in order to extract the output gap from GDP data. We also obtain stylised facts on macroeconomic cycles namely, (i) that the average cyclical period for output is approximately four years, and (ii) that the output movement leads that of investment. The inflation equation is then estimated as part of a bivariate model that includes an equation for GDP; the lagged output gaps enter the inflation equation as additional explanatory variables. The evidence for the significant relationship between the output gap and inflation in ASEAN appears to be very weak.

Keywords: unobserved component model; Phillips relation; output gap; ASEAN (search for similar items in EconPapers)
JEL-codes: C22 C32 E31 E32 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.jem.org.tw/content/pdf/Vol.5No.2/05.pdf (application/pdf)
http://www.jem.org.tw/content/abstract/Vol.5No.2/English/05.htm (text/html)

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:jec:journl:v:5:y:2009:i:2:p:241-256

Access Statistics for this article

Journal of Economics and Management is currently edited by Cathy W. S. Chen and Shih-Wen Hu

More articles in Journal of Economics and Management from College of Business, Feng Chia University, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Yi-Ju Su ().