Nonlinearities in Phillips curve: A semi-parametric approach
How inflation relates to economic activity is one of the most important concern of macroeconomists. Usually the trade-off between inflation and output is assumed to be linear. But is that correct? If not, what is the correct non-linear relation? To answer those questions, we estimated the inflation-...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2015-12-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | http://www.revistas.usp.br/ecoa/article/view/110729 |
| _version_ | 1818873547087413248 |
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| author | Tiago Santana Tristão Hudson da Silva Torrent |
| author_facet | Tiago Santana Tristão Hudson da Silva Torrent |
| author_sort | Tiago Santana Tristão |
| collection | DOAJ |
| description | How inflation relates to economic activity is one of the most important concern of macroeconomists. Usually the trade-off between inflation and output is assumed to be linear. But is that correct? If not, what is the correct non-linear relation? To answer those questions, we estimated the inflation-output trade-off semi-parametrically. A nonparametric estimator was used to guide the choice of a parametric non-linear model. The functional form achieved is considered as a New-Keynesian Hybrid Phillips Curve estimated by GMM. This approach was applied to Brazil using data from 2002 to 2012. We have found evidence of cubic relation between inflation and output gap |
| first_indexed | 2024-12-19T12:56:26Z |
| format | Article |
| id | doaj.art-fac52542865545e997aecee5e9fc7b9a |
| institution | Directory Open Access Journal |
| issn | 1413-8050 1980-5330 |
| language | Portuguese |
| last_indexed | 2024-12-19T12:56:26Z |
| publishDate | 2015-12-01 |
| publisher | Universidade de São Paulo |
| record_format | Article |
| series | Economia Aplicada |
| spelling | doaj.art-fac52542865545e997aecee5e9fc7b9a2022-12-21T20:20:23ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53302015-12-0119410.11606/1413-8050/ea136485Nonlinearities in Phillips curve: A semi-parametric approachTiago Santana TristãoHudson da Silva TorrentHow inflation relates to economic activity is one of the most important concern of macroeconomists. Usually the trade-off between inflation and output is assumed to be linear. But is that correct? If not, what is the correct non-linear relation? To answer those questions, we estimated the inflation-output trade-off semi-parametrically. A nonparametric estimator was used to guide the choice of a parametric non-linear model. The functional form achieved is considered as a New-Keynesian Hybrid Phillips Curve estimated by GMM. This approach was applied to Brazil using data from 2002 to 2012. We have found evidence of cubic relation between inflation and output gaphttp://www.revistas.usp.br/ecoa/article/view/110729Non-linear Phillips curveLocal linear kernel estimatorSemiparametric estimation |
| spellingShingle | Tiago Santana Tristão Hudson da Silva Torrent Nonlinearities in Phillips curve: A semi-parametric approach Economia Aplicada Non-linear Phillips curve Local linear kernel estimator Semiparametric estimation |
| title | Nonlinearities in Phillips curve: A semi-parametric approach |
| title_full | Nonlinearities in Phillips curve: A semi-parametric approach |
| title_fullStr | Nonlinearities in Phillips curve: A semi-parametric approach |
| title_full_unstemmed | Nonlinearities in Phillips curve: A semi-parametric approach |
| title_short | Nonlinearities in Phillips curve: A semi-parametric approach |
| title_sort | nonlinearities in phillips curve a semi parametric approach |
| topic | Non-linear Phillips curve Local linear kernel estimator Semiparametric estimation |
| url | http://www.revistas.usp.br/ecoa/article/view/110729 |
| work_keys_str_mv | AT tiagosantanatristao nonlinearitiesinphillipscurveasemiparametricapproach AT hudsondasilvatorrent nonlinearitiesinphillipscurveasemiparametricapproach |