The Slope of the Euro Area Phillips Curve: Always and Everywhere the Same?

Johanna Amberger and Ralf Fendel

Applied Economics and Finance, 2017, vol. 4, issue 3, 77-88

Abstract: To determine whether the sensitivity of inflation to changes in the business cycle varies over time, hybrid new Keynesian Phillips curves are formulated in state space form and estimated via the Kalman filter. Analyses cover the Euro Area aggregate and eleven Euro Area countries. Results confirm the increasingly important role of inflation expectations. While the Phillips curve flattens until 2007, slope coefficients increase considerably with the financial crisis in 2007/08 on the basis of output gaps. Nonetheless, stable or decreasing slope coefficients are observed on the basis of unemployment gaps, indicating strong dependence on the driving variable used in estimations. Overall, differences in cross-country Phillips curve parameters are decreasing, indicating a convergence of Euro Area countries' inflation dynamics since 1990.

Keywords: time-varying Phillips curve; inflation dynamics; output gap; unemployment gap (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://redfame.com/journal/index.php/aef/article/view/2296/2512 (application/pdf)
http://redfame.com/journal/index.php/aef/article/view/2296 (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:rfa:aefjnl:v:4:y:2017:i:3:p:77-88

Access Statistics for this article

More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().