New evidence on modeling the Phillips Curve and time-varying volatility

James Saunoris and James Payne

Economia Internazionale / International Economics, 2007, vol. 60, issue 3, 355-364

Abstract: This study re-examines the expectations augmented Phillips Curve allowing for time-varying volatility investigated by Ewing and Seyfried (2003) over a longer time period. Though there is evidence of time-varying variance associated with inflation, the inclusion of the conditional volatility in the mean equation of the GARCH-in-Mean specification of the Phillips Curve did not indicate a significant connection between higher levels of inflation attributable to volatility as found by Ewing and Seyfried (2003).

Keywords: Phillips Curve; GARCH; Inflation (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2007
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