Variation in the Phillips Curve Relation across Three Phases of the Business Cycle

菲利普斯曲线在商业周期三个阶段的变化关系

2019/05/04 03:44
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对照中文英文原文
菲利普斯曲线在商业周期三个阶段的变化关系

Abstract

摘要

We use recently developed econometric tools to demonstrate that the Phillips curve unemployment rate–inflation rate relationship varies in an economically meaningful way across three phases of the business cycle. The first (“bust phase”) relationship is the one highlighted by Stock and Watson (2010): A sharp reduction in inflation occurs as the unemployment rate is rising rapidly. The second (“recovery phase”) relationship occurs as the unemployment rate subsequently begins to fall; during this phase, inflation is unrelated to any conventional unemployment gap. The final (“overheating phase”) relationship begins once the unemployment rate drops below its natural rate. We validate our findings in a forecasting exercise and find statistically significant episodic forecast improvement. Our analysis allows us to provide a unified explanation of many prominent findings in the literature.

我们使用最近发展起来的计量经济学工具来证明,菲利普斯曲线(Phillips curve)失业率与通胀率之间的关系在商业周期的三个阶段发生了具有经济意义的变化。第一个(“萧条阶段”)关系是Stock和Watson(2010)强调的:当失业率快速上升时,通胀会急剧下降。第二个(“复苏阶段”)关系出现在失业率随后开始下降时;在这个阶段,通货膨胀与任何传统的失业差距无关。一旦失业率降至自然水平以下,最终的(“过热阶段”)关系就开始了。我们在预测练习中验证了我们的发现,并发现统计上显著的情景预测改进。我们的分析使我们能够对文献中的许多重要发现提供一个统一的解释。

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