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Did the Global Financial Crisis Break the U.S. Phillips Curve?
Stefan LaseenMarzie Taheri Sanjani
出版International Monetary Fund, 2016-07-05
主題Business & Economics / InflationBusiness & Economics / Labor / GeneralBusiness & Economics / Economics / Macroeconomics
ISBN14983486459781498348645
URLhttp://books.google.com.hk/books?id=1HcYEAAAQBAJ&hl=&source=gbs_api
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註釋Inflation dynamics, as well as its interaction with unemployment, have been puzzling since the Global Financial Crisis (GFC). In this empirical paper, we use multivariate, possibly time-varying, time-series models and show that changes in shocks are a more salient feature of the data than changes in coefficients. Hence, the GFC did not break the Phillips curve. By estimating variations of a regime-switching model, we show that allowing for regime switching solely in coefficients of the policy rule would maximize the fit. Additionally, using a data-rich reduced-form model we compute conditional forecast scenarios. We show that financial and external variables have the highest forecasting power for inflation and unemployment, post-GFC.