ESTIMATING UNITED STATES PHILLIPS CURVES WITH EXPECTATIONS CONSISTENT WITH THE STATISTICAL PROCESS OF INFLATION
Bill Russell () and
Rosen Azad Chowdhury
No 265, Dundee Discussion Papers in Economics from Economic Studies, University of Dundee
‘Modern’ Phillips curve theories predict inflation is an integrated, or near integrated, process. However, inflation appears bounded above and below in developed economies and so cannot be ‘truly’ integrated and more likely stationary around a shifting mean. If agents believe inflation is integrated as in the ‘modern’ theories then they are making systematic errors concerning the statistical process of inflation. An alternative theory of the Phillips curve is developed that is consistent with the ‘true’ statistical process of inflation. It is demonstrated that United States inflation data is consistent with the alternative theory but not with the existing ‘modern’ theories.
Keywords: Phillips curve; inflation; structural breaks; GARCH; non-stationary data (search for similar items in EconPapers)
JEL-codes: C22 C23 E31 (search for similar items in EconPapers)
Pages: 35 pages
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.dundee.ac.uk/media/dundeewebsite/econom ... cussion/DDPE_265.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.dundee.ac.uk/media/dundeewebsite/economicstudies/documents/discussion/DDPE_265.pdf [301 Moved Permanently]--> https://www.dundee.ac.uk/media/dundeewebsite/economicstudies/documents/discussion/DDPE_265.pdf [301 Moved Permanently]--> http://www.dundee.ac.uk/media/dundeewebsite/schoolofbusiness/research/discussionpapers/DDPE_265.pdf [301 Moved Permanently]--> https://www.dundee.ac.uk/media/dundeewebsite/schoolofbusiness/research/discussionpapers/DDPE_265.pdf)
Journal Article: Estimating United States Phillips curves with expectations consistent with the statistical process of inflation (2013)
Working Paper: Estimating United States Phillips Curves With Expectations Consistent With The Statistical Process Of Inflation (2012)
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:dun:dpaper:265
Access Statistics for this paper
More papers in Dundee Discussion Papers in Economics from Economic Studies, University of Dundee Contact information at EDIRC.
Bibliographic data for series maintained by Andrzej Kwiatkowski ().