The Phillips multiplier

• 成果类型: Article
• 署名作者: Barnichon, Regis; Mesters, Geert
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Pompeu Fabra University; Barcelona School of Economics
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.04.005
• 发表日期: 2021
• 关键词: Inflation-Unemployment trade-off; Dynamic multiplier; instrumental variables; Weak-instrument robust methods; Phillips curve

摘要

The Phillips multiplier is a statistic to non-parametrically characterize the central bank inflation-unemployment trade-off. Inference on the Phillips multiplier is based on a simple instrumental variable regression of cumulative inflation on cumulative unemployment using monetary shocks as instruments. We compute the Phillips multiplier for the US and the UK and document that the trade-off went from being large in the pre-1990 sample period to being small (but significant) post-1990. In contrast to earlier evidence of a flattening of the slope of Phillips curve, the decline in the trade-off is mostly due to the anchoring of inflation expectations. (C) 2020 Elsevier B.V. All rights reserved.