Examining asymmetric effects in the South African Philips curve: Evidence from logistic smooth transition regression (LSTR) models

Andrew Phiri

MPRA Paper from University Library of Munich, Germany

Abstract: This study contributes to the foregoing literature by investigating asymmetric behaviour within the South African short-run Phillips curve for three versions of the Phillips curve specification namely; the New Classical Phillips curve, the New Keynesian Phillips curve and the Hybrid New Keynesian Phillips curve. To this end, we employ a logistic smooth transition regression (LSTR) econometric model to each of the aforementioned versions of the Phillips curve specifications for quarterly data spanning from 1970:01 to 2014:01. Our empirical results indicate that both the marginal-cost based as well as the output gap based versions of the Hybrid New Keynesian Philips curve provide a good fit for South African data. Therefore, our empirical results indicate that monetary policy in South Africa has an influence on the demand side of the economy through inflation inertia and inflation expectations whilst appearing to exhibit no significant effects on the supply side of the economy.

Keywords: New Classical Phillips Curve; New Keynesian Phillips curve; Hybrid New Keynesian Phillips curve; inflation; output gap; marginal costs; smooth transition regression; monetary policy; South Africa, developing country (search for similar items in EconPapers)
JEL-codes: C22 E31 E37 (search for similar items in EconPapers)
Date: 2015-05-20
New Economics Papers: this item is included in nep-afr and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64487

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