Inference and Forecasting Based on the Phillips Curve
In this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the uncertain...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Korea Development Institute
2016-05-01
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| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2016.38.2.1 |
| _version_ | 1819154886947766272 |
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| author | KIM, KUN HO PARK, SUNA |
| author_facet | KIM, KUN HO PARK, SUNA |
| author_sort | KIM, KUN HO |
| collection | DOAJ |
| description | In this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the uncertainty surrounding the inflation-unemployment trade-off. The inference is conducted through the construction of what is known as the uniform confidence band (UCB). The proposed methodology is then applied to point-ahead inflation forecasting for the Korean economy. This paper finds that the forecasts can benefit from conducting UCB-based inference and that the inference results have important policy implications. |
| first_indexed | 2024-12-22T15:28:13Z |
| format | Article |
| id | doaj.art-b38800d5915e40b6a4dab365cee482d5 |
| institution | Directory Open Access Journal |
| issn | 2586-2995 2586-4130 |
| language | English |
| last_indexed | 2024-12-22T15:28:13Z |
| publishDate | 2016-05-01 |
| publisher | Korea Development Institute |
| record_format | Article |
| series | KDI Journal of Economic Policy |
| spelling | doaj.art-b38800d5915e40b6a4dab365cee482d52022-12-21T18:21:26ZengKorea Development InstituteKDI Journal of Economic Policy2586-29952586-41302016-05-0138212010.23895/kdijep.2016.38.2.1Inference and Forecasting Based on the Phillips CurveKIM, KUN HO0PARK, SUNA1College of Economics and Finance, Hanyang UniversityPh.D. Student, College of Economics and Finance, Hanyang UniversityIn this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the uncertainty surrounding the inflation-unemployment trade-off. The inference is conducted through the construction of what is known as the uniform confidence band (UCB). The proposed methodology is then applied to point-ahead inflation forecasting for the Korean economy. This paper finds that the forecasts can benefit from conducting UCB-based inference and that the inference results have important policy implications.https://doi.org/10.23895/kdijep.2016.38.2.1Timevarying NAIRURandomwalk Phillips curveNewKeynesian Phillips curveUniform confidence bandModel validationInflation forecasting |
| spellingShingle | KIM, KUN HO PARK, SUNA Inference and Forecasting Based on the Phillips Curve KDI Journal of Economic Policy Timevarying NAIRU Randomwalk Phillips curve NewKeynesian Phillips curve Uniform confidence band Model validation Inflation forecasting |
| title | Inference and Forecasting Based on the Phillips Curve |
| title_full | Inference and Forecasting Based on the Phillips Curve |
| title_fullStr | Inference and Forecasting Based on the Phillips Curve |
| title_full_unstemmed | Inference and Forecasting Based on the Phillips Curve |
| title_short | Inference and Forecasting Based on the Phillips Curve |
| title_sort | inference and forecasting based on the phillips curve |
| topic | Timevarying NAIRU Randomwalk Phillips curve NewKeynesian Phillips curve Uniform confidence band Model validation Inflation forecasting |
| url | https://doi.org/10.23895/kdijep.2016.38.2.1 |
| work_keys_str_mv | AT kimkunho inferenceandforecastingbasedonthephillipscurve AT parksuna inferenceandforecastingbasedonthephillipscurve |