A bounded model of time variation in trend inflation, Nairu and the Phillips curve
In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating inflation rate of unemployment (NAIRU). Our model also incorporates a time-varying Phillips curve and time-varying inflation persistence. What sets this paper apart from the existing literature is that we do not use unbounded random walks for the unobserved components, but rather bounded random walks. For instance, NAIRU is...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Applied Econometrics|
|Chan et al A bounded model of time 2014.pdf||661.37 kB||Adobe PDF|
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