The Evolution of the Phillips Curve: A Modern Time Series Viewpoint

Clive W. J. Granger · Yongil Jeon

47 citations0/0 files storedEconomica

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Monetary Policy and Economic Impact Economic Theory and Policy Unemployment and Economic Growth

Abstract

Phillips' (1958) original curve involves a nonlinear relationship between inflation and unemployment. We consider how his original results change due to updated theoretic and empirical studies, increased computer power, enlarged datasets, increases in data frequency and developed time series econometric models. In the linear models, there was weak causation from unemployment to inflation. Rather than using any of the many nonlinear models that are now available, we adopt a time‐varying parameter linear model as their convenient proxy, which empirically supports Phillips' use of nonlinear model form and causation, but the strength of this result is much weaker in recent periods.

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References

1958The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957 1 1980Testing for causality 2006Chapter 4 Forecast Combinations 1960The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1862-1957: A Further Analysis 1954Stabilisation Policy in a Closed Economy 1957Stabilisation Policy and the Time-Forms of Lagged Responses 2000Stabilisation policy and the time-forms of lagged responses 2008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?

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2015Measuring the dynamics of global business cycle connectedness 2015A state-dependent model for inflation forecasting 2015Tests for serial dependence in static, non-Gaussian factor models 2016On the Conditional Distribution of Euro Area Inflation Forecast 2012A State-Dependent Model for Inflation Forecasting 2010The Phillips curve and the Italian lira, 1861–1998

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