Contracting Models of the Phillips Curve Empirical Estimates for Middle-Income Countries
Pierre-Richard Agénor () and
Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The University of Manchester
This paper provides empirical estimates of contracting models of the Phillips curve for eight middle-income developing countries (Chile, Colombia, Korea, Malaysia, Mexico, Morocco, Tunisia, and Turkey). Following an analytical review, a variety of models with one and more leads and lags are estimated using two-step GMM techniques. Nested and non-nested tests are used to select a specification for each country, and in-sample predictive capacity and stability are analyzed. Higher-dimension models tend to perform better than parsimonious models with one lead and one lag. Except for Colombia and Korea, backward-looking behavior has a relatively larger impact on inflation dynamics. World oil prices and relative input prices have a limited effect, whereas borrowing costs are significant for Korea and Mexico.
Pages: 55 pages
New Economics Papers: this item is included in nep-cba, nep-cwa and nep-mac
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Journal Article: Contracting models of the Phillips curve empirical estimates for middle-income countries (2010)
Working Paper: Contracting models of the Phillips curve - empirical estimates for Middle-income countries (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:94
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