Inference and Forecasting Based on the Phillips Curve

Title
Inference and Forecasting Based on the Phillips Curve
Authors
김건호
Keywords
Time-varying NAIRU; Random-walk Phillips curve; New-Keynesian Phillips curve; Uniform confidence band; Model validation; Inflation forecasting
Issue Date
2016-06
Publisher
한국개발연구원
Citation
KDI Journal of Economic Policy, v. 38, NO 2, Page. 1-20
Abstract
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.
URI
http://kdijep.org/v.38/2/1/Inference+and+Forecasting+Based+on+the+Phillips+Curvehttp://repository.hanyang.ac.kr/handle/20.500.11754/71930
ISSN
2586-2995; 2586-4130
DOI
https://doi.org/10.23895/kdijep.2016.38.2.1
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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