Estimating Phillips Curves in Turbulent Times using the ECB's Survey of Professional Forecasters
Koop, Gary and Onorante, Luca (2011) Estimating Phillips Curves in Turbulent Times using the ECB's Survey of Professional Forecasters. Discussion paper. University of Strathclyde, Glasgow.
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Abstract
This paper uses forecasts from the European Central Bank's Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our empirical work. Given the relatively short data span of the Survey of Professional Forecasters and the need to control for many explanatory variables, we use dynamic model averaging in order to ensure a parsimonious econometric specification. We use both regression-based and VAR-based methods. We find no support for the backward looking behavior embedded in the Neoclassical Phillips curve. Much more support is found for the forward looking behavior of the New Keynesian Phillips curve, but most of this support is found after the beginning of the financial crisis.
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Item type: Monograph(Discussion paper) ID code: 67927 Dates: DateEventFebruary 2011PublishedNotes: Discussion paper. Subjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 21 May 2019 13:28 Last modified: 27 Aug 2024 00:55 URI: https://strathprints.strath.ac.uk/id/eprint/67927