The long-run Phillips curve: A structural VAR investigation

• 成果类型: Article
• 署名作者: Benati, Luca
• 署名单位: University of Bern
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.06.007
• 发表日期: 2015
• 页码: 15-28
• 关键词: inflation; unemployment; Phillips curve; Unit roots; cointegration; Bayesian VARs; structural VARs; Long-run restrictions; sign restrictions

摘要

Both cointegration methods, and non-cointegrated structural VARs identified based on either long-run restrictions, or a combination of long-run and sign restrictions, are used in order to explore the long-run trade-off between inflation and the unemployment rate in the post-WWII U.S., U.K., Euro area, Canada, and Australia. Overall, neither approach produces clear evidence of a non-vertical trade-off. The extent of uncertainty surrounding the estimates is however substantial, thus implying that a researcher holding alternative priors about what a reasonable slope of the long-run trade-off might be will likely not see her views falsified. (C) 2015 Elsevier B.V. All rights reserved.