The meta-Phillips Curve: Modelling U.S. inflation in the presence of regime change

Chrystalleni Aristidou

Journal of Macroeconomics, 2018, vol. 57, issue C, 367-379

Abstract: A novel approach to modelling inflation dynamics is presented based on a set of Hybrid New-Keynesian Phillips Curves, distinguished by the regime duration, and combined into a meta-Phillips Curve using model averaging techniques. The analysis of US data over 1950q1−2016q1 shows that, while the importance of expectations of future inflation varies through time depending on the monetary policy regime and economic environment, future expectations make a more substantial contribution to current inflation than past inflation.

Keywords: Inflation; Hybrid new Keynesian Phillips Curve; Model averaging; Structural breaks (search for similar items in EconPapers)
JEL-codes: E31 E58 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:57:y:2018:i:c:p:367-379

DOI: 10.1016/j.jmacro.2018.07.002

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