Inference and Forecasting Based on the Phillips Curve
Kun Ho Kim and
KDI Journal of Economic Policy, 2016, vol. 38, issue 2, 1-20
In this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the uncertainty surrounding the inflation-unemployment trade-off. The inference is conducted through the construction of what is known as the uniform confidence band (UCB). The proposed methodology is then applied to point-ahead inflation forecasting for the Korean economy. This paper finds that the forecasts can benefit from conducting UCB-based inference and that the inference results have important policy implications.
Keywords: Timevarying NAIRU; Randomwalk Phillips curve; NewKeynesian Phillips curve; Uniform confidence band; Model validation; Inflation forecasting (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:zbw:kdijep:v:38:y:2016:i:2:p:1-20
Access Statistics for this article
KDI Journal of Economic Policy is currently edited by Dongseok Kim
More articles in KDI Journal of Economic Policy from Korea Development Institute (KDI) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().